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Foreign exchange rate data normally contain four quotation figures for daily prices: opening, high, low and closing values. It should be noted that the daily opening and closing rates have special significance, as each may hold some additional psychological importance and or may trigger a transaction response simply by holding their particular designation. These four prices encapsulate market activity for any particular session. Within this paradigm, volatility can be calculated through a straightforward algorithm:

By definition, this indicator will be positive during periods of advancing observed values, and negative during periods of declining observed values.



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