If we want to see whether trades were "close" together in time, we might want to take volaility into account.
For example, if the time distance between the trades stays constant, we would regard trades in low-volatility conditions
as being closer together because we anticipate less market activity between the two times.
So there's a natural concept called "volatility-time" which takes into account both volatility and time in a single measurement of proximity.
Surely, this is done in finance? However, I have been unable to google any reference to this concept whatsoever. I'd be grateful for any suggestions or references for such a metric.