THE FINTECH BUILDER · SYNTHETIC LEARNING LAB

Yang-Zhang Volatility

Separate overnight, weighted body and weighted range contributions.

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Keyboard: Tab to a control; native arrow keys change sliders. Alt + Right steps, Alt + Left goes back. Reduced-motion Play advances one state only.

  1. 1. Previous close → opening return
  2. 2. Sample overnight/body variances
  3. 3. Compute w-dependent k and RS mean
  4. 4. Add weighted variance components

Calculated history

Calculated stateValues from the current input prefix, not a decorative trace.
● Selected experiment┄ Canonical parameters / same cutoff

Result and diagnostics

v=A(s²(ln(O/C_previous))+k s²(ln(C/O))+(1-k) mean(RS)); k=.34/(1.34+(w+1)/(w-1))

Calculation trace

Exact current output (JSON)


Input audit
Only the shown information prefix is supplied to the calculation. Synthetic fixture; no live market data or fitted performance claim.
Exact input supplied to the reference engine