I implemented a function calculating the variance (and standard deviation) of time-shifted return fluctuations of high frequency data (approx. 3 Mio rows) supported by multiprocessing functions in Python. The calculations were based on time series data of futures (price per minute) and 10000 discrete time shifts.
Paulnkk/Variance-of-return-fluctuations-over-time-shifts
Determine log-log Variance over 10000 time shifts
Python