The logarithmic rate of return, or the increment of price logarithms
The logarithmic rate of return, or the increment of price logarithms
This indicator can be useful for arbitrageurs. The formula for the calculation of the indicator:
ln(C/O) = ln(C) – ln(O)
where C — is the Close and the O — Open.
For more information about the logarithmic rate of return read the article “Market invariants, or why the trader needs logarithms’.
