Unveiling multiscale spatiotemporal dynamics of volatility in high-frequency financial markets

This study explores the intricate dynamics of volatility within high-frequency financial markets, focusing on 225 of Chinese listed companies from 2016 to 2023. Utilizing 5-minute high-frequency data, we analyze the realized volatility of individual stocks across six distinct time scales: 5-minute, 10-minute, 30-minute, 1-hour, 2-hour, and 4-hour intervals. Our investigation reveals a consistent power law decay in the auto-correlation function of realized volatility across all time scales. After constructing cross-correlation matrices for each time scale, we analyze the eigenvalues, eigenvectors, and probability distribution of Cij based on Random Matrix Theory. Notably, we find stronger correlations between stocks at higher frequencies, with distinct eigenvector patterns associated with large eigenvalues across different time scales. Employing Planar Maximally Filtered Graphs method, we uncover evolving community structures across the six time scales. Finally, we explore reaction speed across multiple time scales following big events and compare industry-specific reactions. Our findings underscore the faster reaction speed at higher frequency scales, shedding light on the multifaceted dynamics of high-frequency financial markets.