<t>Does anyone know any user-friendly, menu-driven software to deal with HF Data? For example, to manipulate HF data in order to construct various time intervals (e.g. 5-minute, 10-minute, etc), order flow, effective spreads, etc. I am aware of some, but it takes serious programming efforts and know...

Realized volatility is really sexy! Any ideas on some novel research topic? Also, it would be interesting to exchange ideas on our own research efforts