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Springer, thanks a lot for your input and suggestions on possible solutions! Hypervolatility, thanks for your reply. Your good advice about keeping it as simple as possible brings up the question of how simple we can keep things. Let me explain a bit more about what I'm trying to do: I'm...

Hi everyone I'm taking my first steps from academia to industry and could use some advice on some matters regarding the calculation of actual or realized volatility . I'm backtesting a volarb (statarb) strategy and need to track realized volatility. I have thought of two ways of doing this, but...