“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”.”Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.
–
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.
Fun, right?)
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