It happened that I also studied the fluctuation characteristics of futures varieties for a period of time. I just sorted out some ideas recently. Talking to you here.
Liu Da 1984 recently published an article: Prepare for the expansion of fluctuations.
The idea of the article coincides with mine!
We are all concerned about the divergence and convergence of wave characteristics. They also observed some influences of different states on the future trend of the market. So I think it is meaningful to choose (or even time) futures varieties with "potential" through "fluctuation".
However, the process of realizing "variability" is different from that in Liu Da.
This involves the definition of the concept of "volatility". We need to discuss it first.
Let me first quote the definition of fluctuation in Baidu Encyclopedia:
Volatility is the degree of price fluctuation of financial assets, and it is a measure of uncertainty of asset return rate, which is used to reflect the risk level of financial assets. The higher the volatility, the more violent the price fluctuation of financial assets, and the stronger the uncertainty of asset returns; The lower the volatility, the more stable the price fluctuation of financial assets, and the more certain the return on assets.
In fact, we all know that the concept of volatility has a wide and profound application in options. Especially the historical volatility calculated from the existing price data.
Let me quote Baidu Encyclopedia's definition of historical volatility again:
Historical fluctuations are based on statistical analysis of the past. Assuming that the future is an extension of the past, estimating volatility by historical methods is similar to estimating the standard deviation of the underlying asset return series.
In addition, the calculation method of historical volatility should be cited:
Firstly, the price of the underlying securities in a fixed period of time (usually the daily closing price or average price) is obtained from the market; Then, for each time period, find the natural logarithm of the ratio of the stock price at the end of the time period to the stock price at the end of the previous time period; Then, calculate the standard deviation of these logarithmic values and multiply it by the square root of the number of time periods included in a year to get the historical volatility.
Generally, the word "rate" is a percentage. As can be seen from the calculation method of historical volatility, it is indeed a ratio. But when we look back at Baidu's definition of volatility and its definition of historical volatility, we can also find two very important points:
The calculation of volatility is inseparable from a statistical measurement data-standard deviation;
The volatility is used to describe the characteristics of market volatility-the more intense the price fluctuation, the greater the fluctuation, and vice versa.
From these two points, we can derive a broad concept of "volatility", that is, indicators that can describe the characteristics of market volatility through statistical tools such as standard deviation can all be used as "volatility".
This is very important! !
Because many tools that describe the characteristics of market volatility are actually not "rates" (the "volatility" I quoted in the above article is such a tool that is not "rates", and the latter is described in the form of "volatility" to avoid confusion with the real volatility in option trading).
With this in mind, we can discuss it further.