- statistical volatility
- статистическая изменчивость (незначительные по сравнению с долгосрочной тенденцией скачки стоимости ценной бумаги)
Большой англо-русский и русско-английский словарь. 2001.
statistical volatility
Смотреть что такое "statistical volatility" в других словарях:
Volatility arbitrage — (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a… … Wikipedia
Statistical finance — Statistical finance, [ J P Bouchaud, An introduction to Statistical Finance, Physica A 313 (2002) 238 251] sometimes called econophysics, [ V. Perou, E. Gopikrishnan, L A Amaral, M. Meyer, H. E. Stanley, Phys. Rev. E 60 6519 (1999)] is an… … Wikipedia
Volatility (finance) — Volatility most frequently refers to the standard deviation of the continuously compounded returns of a financial instrument with a specific time horizon. It is often used to quantify the risk of the instrument over that time period. Volatility… … Wikipedia
Statistical arbitrage — In the world of finance and investments statistical arbitrage is used in two related but distinct ways:* In academic literature, statistical arbitrage is opposed to (deterministic) arbitrage. In deterministic arbitrage a sure profit can be… … Wikipedia
volatility — A measurement of the change in price over a given period. It is often expressed as a percentage and computed as the annualized standard deviation of the percentage change in daily price. Chicago Board of Trade glossary The rate of change in a… … Financial and business terms
Volatility — 1. A statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the… … Investment dictionary
Historical Volatility - HV — The realized volatility of a financial instrument over a given time period. Generally, this measure is calculated by determining the average deviation from the average price of a financial instrument in the given time period. Standard deviation… … Investment dictionary
Stochastic Volatility - SV — A statistical method in mathematical finance in which volatility and codependence between variables is allowed to fluctuate over time rather than remain constant. Stochastic in this sense refers to successive values of a random variable that are… … Investment dictionary
Stable and tempered stable distributions with volatility clustering - financial applications — Classical financial models which assume homoskedasticity and normality cannot explain stylized phenomena such as skewness, heavy tails, and volatility clustering of the empirical asset returns in finance. In 1963, Benoit Mandelbrot first used the … Wikipedia
Risk Measures — Statistical measures that are historical predictors of investment risk and volatility and major components in modern portfolio theory (MPT). MPT is a standard financial and academic methodology for assessing the performance of a stock or a stock… … Investment dictionary
decay analysis — Statistical analysis of the rate of attrition. Decay analysis is used to analyze historical volatility of core deposit volumes, specifically rates for withdrawals and account closures. Deposit decay rates should be calculated by tracking a… … Financial and business terms
