Matter and Void

Security Price Volatility Indexer

August 06, 2014idea

A program that reads in market data of prices of securities, stores them and does a simple calculation of the change in price over an amount of time given a fixed starting date. You can set intervals of time such as a day, week, month, etc when calculations will be made. The output will be a list of securities ordered by those with the highest change in price over the given time period.

The thought is an assisted way to get a list of securities whose rate of change in price is greater than average and can be provided to an individual who can decide whether to invest or not. A more advanced take on it is having the program figure out price trends that are more “smoothly” changing than others—versus those that are more “spiky”, with the intention that a smoother curve implies a trend which a human could then reason about after researching the security. With the goal of trying to separate erratic securities from more reliable ones.


Dan Vingo
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