I have financial data (prices) which are believed to be q-Gaussian. I want to measure the dispersion for fixed periods in the dataset. Which tool is better, the mean absolute deviation, the coefficient of variation, the deviation from the center of gravity, or something like the fano factor?
The idea is to subtract price from the average of n periods, and then divide by the dispersion factor. I already tried the mean absolute deviation, but I don't like the outcome.