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We relate the time-dependent standard deviation of price changes volatility to two microscopic quantities: the number of transactions N t) in Δt and the variance W2 t) of the price changes for all transactions in Δt.
We relate the time-dependent standard deviation of price fluctuations – volatility – to two microscopic quantities: the number of transactions NΔt in Δt and the variance WΔt2 of the price changes for all transactions in Δt.
Typically, the standard deviation of price is used to measure price volatility.
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They seem to represent a deviation of prices from fundamental values and they contradict basic economic theory.
ReprintsThe typical price dispersion in the region (as measured by the standard deviation of prices for a product across the six economies) is equal to 22% of the average price.
Other studies have found that to some extent it is possible to predict future house-price movements from information available now, namely past price increases and the deviation of prices from their long-run trend.
The price instability coefficient is the average deviation of prices from the trend, expressed as percentage the mean price.
We simply focus on the 'daily weakly stationary' price series, which implies that the mean and standard deviation of prices do not change much on different days.
The high price data are the prices higher than μ + σ, in which μ is the mean price and σ is the standard deviation of the price.
The increase in the number of simulated trajectories markedly decreases the standard deviation of the price estimates for all of the basis used.
The standard deviation is then calculated as the standard deviation of all price ranges at a given frequency within the sample.
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