Measuring price deviation to define volatility and the state of price: a study on four major world indexes

Search Swinburne Research Bank

Home

This object has not yet been indexed by the background indexing service.

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.3/158253

Title: Measuring price deviation to define volatility and the state of price: a study on four major world indexes
Author(s): Hua, Sim Kwan; Hua, Sim Chia
Abstract: In financial markets, the state of price is the single most important element to consider, but it has never been an easy task in defining it. This paper studies price deviation in an effort to better define the state of price, it focuses on the analysis of the behavior and psychology of market participants. The evaluation was done on four major indexes across the world, by measuring their price deviation rate over an interval of time. This study introduces a new way of defining and interpreting the state of price in financial markets by quantifying the psychological level of market participants through statistical analysis.
Publication type: Conference paper
Research centre: Swinburne University of Technology. Sarawak Campus. School of Engineering, Computing and Science
Source: Proceedings of the 3rd International Conference on Business Intelligence and Financial Engineering (BIFE), Hong Kong, China, 13-15 August 2010 , pp. 450 - 454
Publication year: 2010
Publisher: IEEE
Language: English
Publisher URL: http://dx.doi.org/10.1109/BIFE.2010.109