Express measurement of market volatility using ergodicity concept

July 20, 2016


We propose a number of volatility measures that are based on ensemble averaging instead of time averaging. These measures allow fast measurement of current volatility without relying on series of past data (realized volatility) of future expectations (implied volatility). The introduced quantities are tested on a model market and are then related to actual market data. They display very adequate behavior and are great complement to traditional volatility measures in analytics, securities valuation, risk management and portfolio management.


Download paper

Share on Facebook
Share on Twitter
Please reload

Featured Posts

Ensemble correlations - the eCORR index

August 1, 2018

Please reload

Recent Posts
Please reload

Please reload

Search By Tags