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

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2 Author(s)
Sim Kwan Hua ; Sch. of Eng., Comput. & Sci., Swinburne Univ. of Technol., Kuching, Malaysia ; Sim Chia Hua

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.

Published in:

Business Intelligence and Financial Engineering (BIFE), 2010 Third International Conference on

Date of Conference:

13-15 Aug. 2010