Performance Comparison Between Volume Weighted Average Price and Multiple Moving Average for Derivatives with Volatility Based Modeling Algorithm

Volatility and averages are one of the most essential parameters in the new era of financial market. They have profound and significant impact on modeling various financial asset pricebehaviors. Main purpose of modeling these parameters is to predict future profit and loss of the portfolio. The challenge here is to tune these parameters efficiently for optimum output. This yields difficulties to obtain optimum profit and loss estimation based on past data. We have triedto tune these parameters more accurately with weighted moving averages and volume weighted average prices. We havealso shown distinct comparison between volume weighted average price and multiple moving average priceson S&P 500 over last 15 years of data along with the algorithm that we have proposed. These endeavors can be very helpful a lot from decisions making perspective for modeling financial asset pricing phenomenon. Key Words: Risk Management, Weighted Average Price, Volatility, Mathematical Modeling, Moving Average.