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.

 

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