Measuring Price Deviation to Define Volatility and the State of Price: A Study on Four Major World Indexes

摘要：

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.

关键词： component Time series analysis technical analysis statistical analysis financial analysis financial enginneering.

作者: Sim Kwan Hua Sim Chia Hua

作者单位: School of Engineering,Computing and Science Swinburne University of Technology (Campus Sarawak)Kuchi School of Business and Design Swinburne University of Technology (Campus Sarawak)Kuching,Malaysia

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 450-454

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）