Intrinsic time

["Walter Lake" <wlake@xxxxxxxxx>]

Thanks for the emails

What the Olsen & Associates article "Fractals and Intrinsic Time" is
referring to is the seasonal aspect of volatility. The time series (price)
data is analyzed in its deseasonalized form.

Re-read the section on the importance of volatility and volatility
clustering.

Use Demetra to decompose the volatility data to separate out the seasonal
component.

To others:

"Quadratic detrending" is normally used for weekly, daily, monthly data,
however one of the traders recently sent me an article that used quadratic
detrending for very short time period data. So you can use it for 1 and 5
min data.

Best regards

Walter