“I like this concept of “low volatility, interrupted by occasional periods of high volatility”. I…”

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“I like this concept of “low volatility, interrupted by occasional periods of high volatility”. I think I will call it “volatility”.”

Daniel Davies

via nonergodic

 

(PS: If you didn’t see it before: try plotting this in R:

vol.of.vol <- function(x) {
    dpois(x, lambda=dpois(x, 5)
    }

… and so on, to your heart’s content.

imageimage
image

Fun, right?)

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