Intraday volatility of OMX Baltic stocks

August 16, 2010
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(This article was first published on Quantitative thoughts » EN, and kindly contributed to R-bloggers)

Usually, intraday volatility exhibits a “smile” – it is high at open and close and it is lower during the trading day.

DJI index, 5 min. intervals, CET time:

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MOS stock, 5 s. intervals, CET time:

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Because many readers of this blog are trading Nasdaq OMX Baltic stocks, it is worth to share my findings about volatility in these markets. It was surprising for me, that none of the stocks in OMX Baltic markets follow “smile” pattern as it was show above.

APG1L, 30 min. intervals, CET time:

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CTS1L, 30 min. intervals, CET time:

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TEO1L, 30 min. intervals, CET time:

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SRS1L, 30 min. intervals, CET time:

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MRK1T, 30 min. intervals, CET time:

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OEG1T, 30 min. intervals, CET time:

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TAL1T, 30 min. intervals, CET time:

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UKB1L, 30 min. intervals, CET time:

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TVEAT, 30 min. intervals, CET time:

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TKM1T, 30 min. intervals, CET time:

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I can find only one reason, why these stocks do not follow the “smile” pattern – liquidity. During the summer these markets are very dry and the quotes are 1.5 months long. Let me know, if you are interested in this report with longer period, then I will repeat it later.

To leave a comment for the author, please follow the link and comment on his blog: Quantitative thoughts » EN.

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