Express Measurement of Market Volatility Using Ergodicity Concept
14 Pages Posted: 21 Jul 2016 Last revised: 10 Jun 2018
Date Written: July 20, 2016
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: Suggested Citation