A good volatility measure

(Last Updated On: August 28, 2011)

A good volatility measure

Hello everyone.

It’s interesting to know, what types of volatility do you use in your algorithms. I know 2 main types in tech analyse – using standard deviations and using ATR indicator. But stdev is a bad volatility measure, ATR so often overrate the volatility level. Who know other volatility measures?


I use fractal dimension of the time series. I’ve posted some code to estimate it from an arbitrary time series.


Newer code:

Results in option pricing (SP500 Calls):


See this: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=970358



NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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