Express Measurement of Market Volatility Using Ergodicity Concept

14 Pages Posted: 21 Jul 2016 Last revised: 10 Jun 2018

Jack Sarkissian

Algostox Trading

Date Written: July 20, 2016

Abstract

We propose a number of volatility measures that are based on ensemble averaging instead of time averaging. These measures allow fast measurement of current volatility without relying on series of past data (realized volatility) of future expectations (implied volatility). The introduced quantities are tested on a model market and are then related to actual market data. They display very adequate behavior and are great complement to traditional volatility measures in analytics, securities valuation, risk management and portfolio management.

Keywords: volatility, quantitative finance, asset management, risk management, ergodicity, analytics, portfolio management

JEL Classification: C00, C01, C02, C22, C51, C58, G01

Suggested Citation

Sarkissian, Jack, Express Measurement of Market Volatility Using Ergodicity Concept (July 20, 2016). Available at SSRN: https://ssrn.com/abstract=2812353 or http://dx.doi.org/10.2139/ssrn.2812353

Jack Sarkissian (Contact Author)

Algostox Trading ( email )

United States

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