I am studying a high frequency tick by tick data. I want to calculate every 5 minutes volatility. The volatility equation is as follow： P_t^High：the highest price in 5 minutes interval P_t^Low：the lowest price in 5 minutes interval P_t^Open：the opening price(first price) in 5 minutes interval P_t^Close：the closing price(last price) in 5 minutes interval   The trading time in this data is from 8:45 to 13:45(5 hours). The 5 minutes interval is defined as：(84500.000-85000.000), (85000.001-85500.000), (85500.001-90000.000),......, (134000.001-134500.000)   Here is an example： date              account         price            time 2010/1/4           123           8203         84500.155 2010/1/4           456           8187         84600.116       2010/1/4           789           8194         84700.117 2010/1/4           452           8201         84800.115 2010/1/4           124           8199         84900.115 2010/1/4           477           8197         85000.145 2010/1/4           412           8199         85100.115 2010/1/4           633           8196         85200.123 2010/1/4           521           8198         85300.112 2010/1/4           213           8197         85400.145 2010/1/4           777           8199         85500.144 2010/1/4           216           8195         85600.566 2010/1/4           974           8197         85700.963 2010/1/4           269           8194         85800.419 2010/1/4           536           8196         85900.324 2010/1/4           236           8194         90000.639   The first 5 minutes volatility is from 84500.000 to 85000.000. So it is 1/2(8203-8187)^2-(2ln2-1)(8203-8199)^2.   Could you help me how to write the code about volatility equation above?The data format is csv. If you have any problem about my question, please let me know. If you need the whole data, you can download the data I upload.   Many thanks for your help. Thanks for sparing your time. Highly appreciate it.   ... View more