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  • #1
  • First Post: Jan 22, 2011 7:10am Jan 22, 2011 7:10am
Here we discuss under which market environments more volatility is going to exist


1news
2 important trend lines,previous high,low
3us and europian sessions (on eurusd for instance)
4due to fibonnachi behaviours, the bigger the previous move has been, its more likely that price will go in the opposite direction due to take profit, and new entries due to ob/os



what pair?


more ideas on volatility?
  • #2
  • Jan 22, 2011 7:17am Jan 22, 2011 7:17am
low liquidity
Time hides Nothing
  • #3
  • Jan 22, 2011 7:46am Jan 22, 2011 7:46am
unexpected news
  • #4
  • Jan 22, 2011 8:09am Jan 22, 2011 8:09am
I think higher liquidity has higher average volatility than lower liquidity.
  • #5
  • Jan 22, 2011 8:15am Jan 22, 2011 8:15am
hm.. I would have thought that lower liquidity means that price needs to jump around more to find and fill orders and therefore more volatile.

What about the EUR/USD compared with the GBP/JPY? If people can transact at the prices they want there s no need for the price move more than it needs to and the more liquid the market the easier it is for people to tranasct at the prices they want

What you think?
Time hides Nothing
  • #6
  • Jan 22, 2011 8:17am Jan 22, 2011 8:17am
Quoting woo
I think higher liquidity has higher average volatility than lower liquidity.
I think it really depends why there is low liquidity.

Let's take the asian session, it typically has low liquidity and also low volatility.

But now let's take a news event. There all the players will position themselves to one side, here liquidity also dries up, cause everbody is for example a buyer and there won't be any sellers.

So really depends on the reason for low liquidity.
  • #7
  • Edited 9:30am Jan 22, 2011 9:07am | Edited 9:30am
Quoting CindyXXXX
hm.. I would have thought that lower liquidity means that price needs to jump around more to find and fill orders and therefore more volatile.

What about the EUR/USD compared with the GBP/JPY? If people can transact at the prices they want there s no need for the price move more than it needs to and the more liquid the market the easier it is for people to tranasct at the prices they want

What you think?

if volatility= biggest price chance in one direction

you are right, but even if this is true:

for volatility trading(take profit is bigger than stop loss), low liquidity, even if it has higher volatility, isnt really a more favourable environment, since your stops will be hit at nearest levels(ecn broker), which definately wont be your stops.


and we dont just want regular volatility. We want volatility in one direction with good liquidity levels.
  • #8
  • Jan 22, 2011 9:12am Jan 22, 2011 9:12am
Quoting Custos
I think it really depends why there is low liquidity.

Let's take the asian session, it typically has low liquidity and also low volatility.

But now let's take a news event. There all the players will position themselves to one side, here liquidity also dries up, cause everbody is for example a buyer and there won't be any sellers.

So really depends on the reason for low liquidity.


True. Thats an occurrence when lower liquidity means more volatility.
  • #9
  • Jan 22, 2011 9:36am Jan 22, 2011 9:36am
Why not go to the next level of volatility forecasting.

http://quantumfinancier.wordpress.co...using-garch11/

The whole series: http://quantumfinancier.wordpress.com/?s=egarch
  • #10
  • Jan 22, 2011 9:56am Jan 22, 2011 9:56am
Quoting CindyXXXX
low liquidity
Volatility = Liquidity Demand / Liquidity Supply
  • #11
  • Edited 11:00am Jan 22, 2011 10:33am | Edited 11:00am
Quoting seagreen
Volatility = Liquidity Demand / Liquidity Supply
Reminds me of
Attached File(s)
File Type: ex4 DutchCandle.ex4   3 KB | 552 downloads
(thread, chart), which simply puts bull and bear candles on opposite sides of a horizontal line; a comparison with volume (such as
Attached File(s)
File Type: ex4 Hidden Gap Volume Indicator V5[b].ex4   20 KB | 583 downloads
, chart) could also help.
-- That is, if ticks, instead of orders or ... can be related closely to the formula.
  • #12
  • Last Post: Jan 22, 2011 11:01am Jan 22, 2011 11:01am
Quoting ha-pattern
Reminds me of Attachment (thread, chart), which simply puts bull and bear candles on opposite sides of a horizontal line; a comparison with volume (such as Attachment , chart)...
I wasn't trying to quantify volatility, just showing that it
is directly proportional to liquidity demand and inversely proportional to liquidity supply.
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