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

FOR Code(s)

010205 Financial Mathematics;  010406 Stochastic Analysis and Modelling;  080607 Information Engineering and Theory

Keyword(s)

Financial analysis;  Financial engineering;  Statistical analysis;  Technical analysis;  Time series analysis

Publisher

IEEE

ISBN

9780769541167

Publisher URL

http://dx.doi.org/10.1109/BIFE.2010.109

Copyright

Copyright © 2010 IEEE.

Peer reviewed