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    Pacal Effective Volume

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    Bzasri Rao
    This document provides a formula to calculate the expected volatility (EV) of a security between two time intervals based on the absolute difference between closing prices, the high and low prices during each interval, and a price interval constant. The EV is 0 if the closing prices are equal between intervals.

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    Pacal Effective Volume

    Uploaded by

    Bzasri Rao
    32 views1 page
    This document provides a formula to calculate the expected volatility (EV) of a security between two time intervals based on the absolute difference between closing prices, the high and low prices during each interval, and a price interval constant. The EV is 0 if the closing prices are equal between intervals.

    Original Description:

    Ami Formula

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    This document provides a formula to calculate the expected volatility (EV) of a security between two time intervals based on the absolute difference between closing prices, the high and low prices during each interval, and a price interval constant. The EV is 0 if the closing prices are equal between intervals.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as TXT, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as txt, pdf, or txt
    32 views1 page

    Pacal Effective Volume

    Uploaded by

    Bzasri Rao
    This document provides a formula to calculate the expected volatility (EV) of a security between two time intervals based on the absolute difference between closing prices, the high and low prices during each interval, and a price interval constant. The EV is 0 if the closing prices are equal between intervals.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as TXT, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as txt, pdf, or txt
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    ABS (Closei-1 - Closei )+ PI) / (Highi - Lowi + PI) Closei-1 = Closing price corresponding to Time Interval (i-1): TIi-1

    Closei = Closing price corresponding to Time Interval (i): TIi Highi = Max (Highi , Closei-1) Lowi = Min (Lowi , Closei-1) PI = Price Interval (usually US$ 0.01). ABS= Absolute value If (Closei-1 = Closei ) then EV = 0

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