From the course: Algorithmic Trading and Stocks Essential Training

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Stationarity and the VIX

Stationarity and the VIX

From the course: Algorithmic Trading and Stocks Essential Training

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Stationarity and the VIX

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- What we've got here again stated that we've seen previously, we've got data on any particular day for the open price, the high price, the low price, and the adjusted close. Now one trading strategy we might want to pursue involves trying to understand whether any of these prices seem artificially high or low over a particular period of time. Maybe the stock, as an example, seems to have an artificial level of exuberance around it. People have been very excited about it and buying pressures have pushed the prices up a little too much, or maybe people are a little too down on the stock and prices have pushed down too low. A simple way to kind of communicate that type of idea is through what we call the moving average. We might want to go through and develop a moving average that sort of smooths out some of the inter day fluctuations in the stock and gives us a better idea of where the trend is over time and potentially allows…

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