X-Nico

unusual facts about volatility



Avraham Diskin

During the 2000s he published (often in conjunction with Moshe Koppel) two solutions to John Nash’s bargaining problem, a solution of the Voting Power measurement, a proof of the association between ‘strategic non-voting’ and ‘decisiveness’ of electoral competitions in the United States and Britain in the twentieth century, a proof of homogeneity in Swiss referenda, and a new measure of electoral malapportionment, volatility and disproportionality.

Caissa

Caissa Capital, a hedge fund based on volatility arbitrage in the late 1990s

Equity premium puzzle

They found a modest correlation of 0.62 between the 10-year equity premium and a measure of implied volatility (in this case VIX, the Chicago Board Options Exchange Volatility Index).

Eric Ghysels

Ghysels is also a research fellow at CIRANO, Extramural Fellow at CentER - Tilburg University, research affiliate at the Volatility Institute - New York University Stern School of Business and in 2011 Fernand Braudel Senior Fellow at European University Institute, Florence, Italy.

Fear index

Fear Index - common name for the Chicago Board Options Exchange Market Volatility Index, ticker symbol VIX, measuring the implied volatility of S&P 500 index options

Heston model

In finance, the Heston model, named after Steven Heston, is a mathematical model describing the evolution of the volatility of an underlying asset.

Investing.com

The site also offers users tools such as a currency converter, heat-maps, and various calculators (Fibonacci calculator, currency calculator, profit calculator, margin calculator, Forex volatility).

Random-access memory

Robert H. Dennard invented dynamic random-access memory (DRAM) in 1968; this allowed replacement of a 4 or 6-transistor latch circuit by a single transistor for each memory bit, greatly increasing memory density at the cost of volatility.

Roger Gray

He published a 1963 study concluding that the Onion Futures Act, which was designed to prevent market manipulation in onion prices by banning onion futures trading, had actually increased onion price volatility.

Steven L. Heston

Heston is the originator of the eponymous Heston model, a mathematical formulation describing the evolution of an underlying asset's volatility.

Thomson Reuters Realized Volatility Index

The index was first introduced during the webcast The Long & Short of It - New Measures of Volatility on September 23, 2009 by Andrew Clark, Chief Index Strategist of Thomson Reuters Indices.

Tobin tax

Keynes' concept stems from 1936 when he proposed that a transaction tax should be levied on dealings on Wall Street, where he argued that excessive speculation by uninformed financial traders increased volatility.

Trimethylsilyl chloride

Trimethylsilylation can also be used to increase the volatility of a compound, enabling gas chromatography of normally nonvolatile substances such as glucose.

United States energy law

In August 2008, it was revealed that oil speculators had increased the volatility of the price of oil; Congressman John Dingell criticized the Commodity Futures Trading Commission for failing to scrutinize oil futures traders, in particular the Swiss company Vitol.

Volatility clustering

The ARCH (Engle, 1982) and GARCH (Bollerslev, 1986) models aim to more accurately describe the phenomenon of volatility clustering and related effects such as kurtosis.

Welfare cost of business cycles

One way to calculate how costly this greater volatility is in terms of individual (or, under some restrictive conditions, social) welfare is to ask what percentage of her annual average consumption would an individual be willing to sacrifice in order to eliminate this volatility entirely.


see also