In a lot of cases we need some way to measure the volatility
Among the other ways, here is one simple way : it is a ratio of (sum of price differences) to average of (sum of price differences). As simple as it gets, it seems to be detecting the market volatility in acceptable way. As a point of reference :
values above 1 are periods of increased volatility
values bellow 1 are periods of decreased volatility
As it can be seen it detects the volatility change OK even in a “thin” market (when the average difference is small and when even a small change is and should be treated as significant volatility change)
