**5. Data**

Three FX exchange rates were used in the work: EUR/USD, EUR/JPY, and EUR/GBP. The covered time interval is from January 2011 to January 2016 and includes 109,069,357, 134,737,397, and 88,704,676 ticks correspondingly. The source of the data is the *JForex* trading platform developed by the Swiss bank and marketplace *Ducascopy*, which provides various types of market data in the highest resolution6.

Bitcoin price changes observed at the *Kraken* crypto-exchange were downloaded from the *Bitcoincharts* online platform supplying financial and technical data related to the Bitcoin network7. The studied time interval is from January 2014 to April 2018 and includes 4,778,429 ticks.

The stocks market is represented in this work by the index that currently comprises 505 common stocks listed by 500 large-cap companies on the US stock market: S&P 500 (with the ticker SPX500). The high-frequency data has been downloaded from the *JForex* platform too. The selected dataset spans from January 2012 to January 2017. The total number of ticks is 38,931,943.

There is a substantial difference in the number of ticks in time series used in the work. The difference reflects the distinct activity in the selected traditional and novel markets. That discrepancy does not undermine the further results since our goal is to apply the novel volatility measurement techniques, which is agnostic to the number of ticks per period of time (see Section 3). Moreover, the discrete price impact on the instantaneous volatility will be described in Section 7.3. The same is correct for the slight time-span shifts. The compatibility of the results is not affected: the designed experiments aim to depict the statistical properties of the volatility seasonality and not to compare price behaviour at any particular historical moment of time.

<sup>6</sup> https://www.dukascopy.com/swiss/english/forex/jforex/.

<sup>7</sup> http://api.bitcoincharts.com/v1/csv/.

The fully functional code used in the project can be downloaded from the author's GitHub repository8.
