Sunday, October 10, 2010

Thinking about Volatility

Volatility is a bit less understood and researched by retail market participants compared to directional bets.
  1. There is lot of disdain about academic work on markets in the arena of practicing traders. This gap needs to be bridged as there is plenty of fine academic work on market behavior and the traders edge can be derived from that.
  2. My reading of Victor Niederhoffer, Brett  Steenbarger's works have made me appreciate the scientific and quantitative aspect of markets.
  3. I had the pleasure of attending NISM workshop and listening to the fine lectures of Kotha Kiran Kumar on Volatility and Market Microstructure.
  4. Fine Understanding about Volatility here from none other than Robert Engle.
  5. Volatility is least understood because it is not directly observable unlike price movement.

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