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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?

 

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

Background:
http://hanwangquant.blogspot.com/2011/04/fractal-volitility.html

Newer code:
http://hanwangquant.blogspot.com/2011/07/fractal-volatility-through-variation.html

Results in option pricing (SP500 Calls):
http://hanwangquant.blogspot.com/2011/05/residual-svr-option-pricing-model.html

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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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