https://github.com/fibo/volatility

is the degree of variation of a trading price series over time
https://github.com/fibo/volatility

statistics variance volatility

Last synced: 22 days ago
JSON representation

is the degree of variation of a trading price series over time

• Host: GitHub
• URL: https://github.com/fibo/volatility
• Owner: fibo
• License: mit
• Created: 2018-02-23T19:09:30.000Z (over 6 years ago)
• Default Branch: master
• Last Pushed: 2018-10-10T21:42:58.000Z (about 6 years ago)
• Last Synced: 2024-10-04T21:05:38.047Z (about 1 month ago)
• Topics: statistics, variance, volatility
• Language: JavaScript
• Homepage: http://g14n.info/volatility
• Size: 30.3 KB
• Stars: 2
• Watchers: 3
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

README

        
# volatility

> is the degree of variation of a trading price series over time

[Annotated source](#annotated-source) |

[License](#license)

[![NPM version](https://badge.fury.io/js/volatility.svg)](http://badge.fury.io/js/volatility)

[![No deps](https://img.shields.io/badge/dependencies-none-green.svg)](https://github.com/fibo/volatility)

[![JavaScript Style Guide](https://img.shields.io/badge/code_style-standard-brightgreen.svg)](https://standardjs.com)

[![KLP](https://img.shields.io/badge/kiss-literate-orange.svg)](http://g14n.info/kiss-literate-programming)

## Annotated source

```javascript

/**

 * Volatility is the degree of variation of a trading price series over time.

 *

 * @param {Array} values

 * @returns {Number} sigma, a.k.a. *standard deviation* that is the square root of the values *variance*

 */

function volatility (values) {

  const n = values.length

  const mean = values.reduce((a, b) => (a + b), 0) / n

  const deviation = values.reduce((dev, val) => (dev + (val - mean) * (val - mean)), 0)

  return Math.sqrt(deviation / n)

}

module.exports = volatility

```

## License

[MIT](http://g14n.info/mit-license/)