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What is Fast Market Volatility Measurement Techniques about?

The document presents a method for measuring market volatility using ensemble averaging instead of traditional time averaging, allowing for faster assessment of current volatility. It introduces new volatility measures, such as eVol and eVaR, which are tested against model market data and shown to respond more effectively to market changes compared to historical and implied volatility. The findings suggest that these ensemble measures can enhance analytics, risk management, and portfolio management practice

Author

naveen kumar

Language

EN