Why truncation of x axis in bottom graph at 4%?

29 Monday Jan 2018

Posted by Daniel in orientation, Uncategorized

Answer to readers about graphs:

The top graph shows the evolution of the worldvolatility since 1974. An empirical observation that can be easily seen is that the values seem to stop decreasing around 4%. Why at 4%? That is unknown at this point, but it seems to hold as a worldvolatility low.

The bottom graph is just a zoom (in the long graph from 1974) from the last time the worldvolatility hit a 4% low , which was in the summer of 2014. The truncation of x axis at 4% is just to get a close up on the evolution of the worldvolatility.

So both graphs show the same evolution of the Worldvolatility, the bottom one being the close-up and the top one being the “big picture” from 1974.

Historic check of treasury and equity volatility since 1973

19 Thursday Nov 2015

Posted by Daniel in orientation, relative volatility

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The historic check of Nasdaq and 10year-treasury volatility shows a range of normality for these measures. Treasury volatility seem to be “calm” around 5% and that sets somewhat of a floor. Nasdaq volatility seems to have around 10% as a floor at least in post-coldwar world from the nineties and forward. Upper level obviously harder to pinpoint. Both these series are slightly leptokurtic (fat tail distributed) with Treasuries being more leptokurtic over the 42 year period with only one big spike in volatility.

The series looks to be working in “alternating-fashion” in a way with big spikes in one being “safeguarded” by calm in the other. This being brought about by portfolio manager behaviour and central bank behaviour over different periods with different investing fashions in vogue, for example the Volcker-moves of the early eighties by Fed and risk parity investing today.

Is this a reasonable basis for a “worldvolatility”? After researching financial time series and various kinds of societal time series for 20 years my view is that it is.

/Daniel

Why volatility?

18 Saturday Oct 2014

Posted by Daniel in orientation

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volatility

While prices and economic indicators move in different directions at different times with correlations changing and decaying, the general level of movement is more easily observed and can lend itself to an “apples to apples” comparison across different domains in societal affairs.

Financial volatility, is observable, implied in optionprices or calculated from historical logarithmic returns.

After almost 200 years of advanced financial markets they might teach us something.

Prologue

15 Wednesday Oct 2014

Posted by Daniel in orientation

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Oscar Wilde, volatility

Knowing the price of everything but the value of nothing might be the trait of the cynic if you read Lady Windermere’s Fan (Oscar Wilde 1892), but as prices are not the most important things in life they bring about the possibility to comprehend societal dynamics unfold on a global scale. The vision of Worldvolatility is to capture such dynamics using quantitative methods.