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Choppiest pairs- Most Volatile within Range
Started:October 29th, 2010 (12:27 AM) by joseclar Views / Replies:3,078 / 3
Last Reply:October 29th, 2010 (12:37 PM) Attachments:0

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Choppiest pairs- Most Volatile within Range

Old October 29th, 2010, 12:27 AM   #1 (permalink)
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Choppiest pairs- Most Volatile within Range

I have been doing a lot of research on volatility. What would your approach be to determing the volatility within the daily range?. For instance say the daily range on the eur/gbp is mid 80s and the daily range on gbp/jpy is high 200's, what techniquies would you use to determine, how many times within that high and low range the pair moved 10 pips, 20 pip, 30 pips in on direction and so on. I suppose some form of regression could work. I could all use a brute force analysis but that seems very time consuming. Please let me know what you think. If you can think of any indicators or statistical analysis techniques that could give me the data I am looking for. Thank so much for the reply.

Basically I am looking for your opinion on what pairs are most choppy, meaning most likely to retrace frequently during their ranges or trends, and what techniques you would use to evluate this special form of volatility. It seems that some of the cross pairs are pretty choppy. I have been looking at nzd, aud, eur, and gbp crosses, as well as majors.

I would love any input to my overall question. But most importantly I would like suggestions on pairs that are choppy. Cross pairs are fine. I am looking as mentioned for pairs that wont go on large single directional runs, with out retracing. Thanks

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Old October 29th, 2010, 12:27 AM   #2 (permalink)
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Old October 29th, 2010, 12:37 PM   #4 (permalink)
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Fat Tails has done a great deal of work on some volatility studies already:


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