Is there any need for real time weighted volatility on a tick by tick basis for equities?
If you had that access to that, what could you do with it?
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Are you asking because you're offering a product in this space? – chrisaycock Apr 28 '12 at 15:50
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no, I'm playing around with parellel GPU programming. Looking for a something worthwhile to do. Calculating realtime option smiles might be better but I want to concentrate more on the architecture first... I'm open to publishing the code once I got it complete, so is it of any interest to anyone? – mfc Apr 30 '12 at 10:32
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1I do not believe that GPU is of any help for HFT-related computation, too many time is lost in the memory bus. – lehalle Apr 30 '12 at 20:31
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I already answered to a very similar question about computing high-frequency volatility – lehalle Apr 30 '12 at 20:32