(file> INDEX-DailyChange)
The maximum daily difference is difference form the High to the low normalized by the average of the OHLC. It gives an idea of the maximum daily difference in prices that can be expected for a day. From Graph 4.1 we can see that DJIA has the maximum variability over one day and the minimum is by RUT.
Graph 4.2 contains the difference form the Absolute value of the Open and Close for every day normalized by the average of OHLC. Here we see that oll the markets behave in the same way; providing a decreasing function of frecuency as a funtion of the difference. It can be concluded that it is more probable to obtain a close similar to the open of the day. The distributions are normal with the following means and standard deviations.
The standar deviation is for every index
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Obtaining the absolute difference from the data, we can obtain the degree of exponential decay. shown in Graph 4.2. It is interesting to observe that all indexes have a similar behavior with an exponential decay found in Graph 4.3 that fit the equation
Copyright 2005© J. Ignacio Ulacia F., All rights reserved