Market shocks

Hello all,

What is the most appropriate indicator for measuring the impact (shocks) of the market?

thanks in advance

Market shocks are almost never alike except that they happen rarely. I suggest you look for Taleb's The Black Swan That's a fairly good book on market shocks. We've come across 2 possibly 3 black swans this year (depending on how you look at it)

Hello Ronald.

I read this book from Taleb, which led me to study Mandelbroot that talks about these shocks.

Is not to predict the next market move, but to learn after an event the degree of impact that the news caused, as the Richter scale of earthquakes.

The standard deviation is the closest i know, but I think it's more for volatility.

Well..best way I can think of in terms of measuring shocks is how many pips per time period did the price move? And how long did that last?


As for an indicator which does this, I can't name any.