2010/12/18

What does volatility teach us about mean deviation?

If you think, like many, that “an instrument that has a daily standard deviation of 1% should move 1% a day on average", you should read the following article:

Goldstein, Daniel G. and Taleb, Nassim Nicholas, We Don't Quite Know What We are Talking About When We Talk About Volatility (March 28, 2007). Journal of Portfolio Management, Vol. 33, No. 4, 2007. Available at SSRN: http://ssrn.com/abstract=970480

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