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ALPHA ADDER
http://www.alphaadder.blogspot.com
"Empirical studies of the fluctuations in the price of various financial assets have shown that distributions of stock returns and stock price changes have fat tails that deviate from the Gaussian distribution [Mandelbrot (1963,1997), Pagan (1996), Campbell et al. (1997), Cont et al. (1997), Guillaume et al. (1997), Pictet et al.(1997) especially for intraday timescales [Cont et al. (1997)] These fat tails characterized by a significant excess kurtosis, persist even after accounting for heteroskedasticity in the data [Bollerslev et al. (1992)]. The heavy tails observed in these distributions correspond to large fluctuations in prices, "bursts" of volatility that are difficult to explain only in terms of variations in fundamental economic variables [Shiller(1989)].2”
In plain English; we have "crashes" larger and more frequently than what can fit into conventional, commonly accepted economic theories.
The Systemic Risk Counseling model utilizes and integrates large events so as to be full process.
The successful results of the model in the past four years are undeniable.
- Added on: Jun 30th, 2009
- Country: United States
- Language: English
- Author: Bob Klapetzky
- Listed in: Economics Investing
- Tags: crash six sigma volatility econophysics systemic risk self organizing criticality
Recent Posts
NEW FRONTIERS OF VOLATILITY TO EXPLORE! Jay-z stackin chips, and I\'m all in!
Alpha Adder moves forward, currently researching volatility on Gold, oil, and currencies. Will be adding comments on the systemic risk specific to each of these new additional asset classes. Trading options on S&P 500 volatility has been particul...
SYSTEMIC RISK COUNSELING
ALL FUTURE ENTRIES REGARDING RESULTS OF SYSTEMIC RISK MODEL WILL BE PUBLISHED ON SISTER BLOG SYSTEMIC RISK COUNSELING.SYSTEMIC RISK COUNSELING DIRECTLY ADDRESSES THE DEFICIENCY OF CURRENT ECONOMIC THEORY. THAT BEING:"Empirical studies of the fluctuat...
Thanks for stopping bye. Important entry dates.
Thanks for stopping in. The important entries are:1) The first on 8/22/05 gives you a (partial) background on the rationale behind the model. skip to 2) 07/09/07 through 1/7/08 where you can clearly see when I identified "Criticality" based on the...
