Volatility

science_trader writes:
<BR>If you compute daily returns and scale them with sqrt(250), weekly returns and scale them with sqrt(52), monthly returns and scale them with sqrt(12), you won't usually get the same annual volatility, proof (out of the statistical error) that scaling is not precisely a square root.
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I've found that very little in financial analysis is precise (including that square-root-of-time stuff), but I suggest that one use whatever definition happens to be in vogue ... so everybuddy is speaking the same language :)

However, I'd be interested in how you would calculate annual volatility?
 
Quote from science_trader:

None of them. It's just a question of Hurst exponent.
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Note to self:
Be sure to narrow correct context, then conclude/surmise. :)
 
Quote from gummy:

I've found that very little in financial analysis is precise (including that square-root-of-time stuff), but I suggest that one use whatever definition happens to be in vogue ... so everybuddy is speaking the same language :)

However, I'd be interested in how you would calculate annual volatility?
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It depends for what purpose. Trading ? I would rather use ATR. Option pricing ? sorry, my methods are only for sale :) Portfolio management ? sorry again, the method is for sale :)
 
Option pricing ? sorry, my methods are only for sale Portfolio management ? sorry again, the method is for sale
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Aha! Now I see why you are critical of methods used by others :D

P.S. My methods are free ...
 
Quote from gummy:

Aha! Now I see why you are critical of methods used by others :D

P.S. My methods are free ...
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That's life... my methods (but I'm not the one to sell them as I got paid to develop them for others) are for sale, but you make money out of them. The standard method is free...but you don't get a penny...and usually get fucked by people using my (or others) method...
 
Quote from science_trader:

That's life... my methods (but I'm not the one to sell them as I got paid to develop them for others) are for sale, but you make money out of them. The standard method is free...but you don't get a penny...and usually get fucked by people using my (or others) method...
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Hmm, It certainly hasn't been difficult in the past, to detect an air of crass arrogance. :D
 
I've noted (with amusement) science_trader's cryptic statements:

"It's just a question of Hurst exponent."**

"something totally inaccessible to people not trained in probs"

and even the obvious
"if the market is an infinite-variance process, 'volatility' is infinity"

**
Actually, I'd explain why the Hurst exponent has nothing whatsoever to do with skew or kurtosis, but my explanation is for sale ... :p
 
Quote from gummy:

I've noted (with amusement) science_trader's cryptic statements:

"It's just a question of Hurst exponent."**

"something totally inaccessible to people not trained in probs"

and even the obvious
"if the market is an infinite-variance process, 'volatility' is infinity"

**
Actually, I'd explain why the Hurst exponent has nothing whatsoever to do with skew or kurtosis, but my explanation is for sale ... :p
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Did I say that Hurst exponent was in relation with skew or kurthosis ? I don't think so. Next time I'll write a complete sentence for people to understand better.
 
science_trader asks:
Did I say that Hurst exponent was in relation with skew or kurthosis?
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No, you didn't, but I'd still be happy to prove* that it doesn't ... for a price :cool:

*There's this thing I have about mathematical "proofs" of events that occur in the real world
... in particular, "proofs" of things financial.

One of my favourite quotes:
"As far as the laws of mathematics refer to reality, they are not certain, and as far as they are certain, they do not refer to reality." ... Albert Einstein
 
Quote from gummy:

No, you didn't, but I'd still be happy to prove* that it doesn't ... for a price :cool:

*There's this thing I have about mathematical "proofs" of events that occur in the real world
... in particular, "proofs" of things financial.

One of my favourite quotes:
"As far as the laws of mathematics refer to reality, they are not certain, and as far as they are certain, they do not refer to reality." ... Albert Einstein
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Beware of the multifractality of prices in your study :)

Don't give Einstein to much credit for his works. I have studied physics and I didn't find his works were really so great (with all due respect). I much better appreciate Feynman's ideas...and life :)
 
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