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Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling

Tiago Colliri and Fernando F. Ferreira

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Abstract: The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a unified model that includes volume and price variations for stock assessment purposes. In this paper we present a computer model that could fulfill this gap, proposing a new index to evaluate stock prices based on their historical prices and volumes traded. Besides the model can be considered mathematically very simple, it was able to improve significantly the performance of agents operating with real financial data. Based on the results obtained, and also on the very intuitive logic of our model, we believe that the index proposed here can be very useful to help investors on the activity of determining ideal price ranges for buying and selling stocks in the financial market.

Date: 2012-06, Revised 2012-09
New Economics Papers: this item is included in nep-cmp and nep-fmk
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Handle: RePEc:arx:papers:1206.5224