We have traded derivatives for many years, read many volatility reports and attended multiple options presentations. This is the absolutely most unique visual and the “coolest” presentation of volatility we have seen over the past fifteen years. Great work by Chris Cole at Artemis Capital Management. For his last must read report click here, but before that, we urge you to watch the video presentation below.
“Nobody will deny there is roughness everywhere….” Benoit Mandelbrot
The movement of stock prices has been an obsession for generations of speculators and traders. On a higher level mathematicians believe that modern markets are an extension of the same fractal beauty found in nature. Visualized these stock markets may take the shape of a turbulent ocean with waves made of human hopes, dreams, greed, and fear.
A Rogue mathematicians search for answers. From Tripple Helix.
How do you measure the rough and jagged coastline of the United Kingdom? Or the sharp, seemingly arbitrary rise and fall of a stock-price? To the layperson, the answer to the first question might seem a straightforward matter of getting on a boat and making a trip. 1 The answer to the second question might be observing the markets for long periods of time and trying to discern patterns within the graphs (much like technical analysts do today). However, mathematicians aren’t known for their love of fieldwork. This is the story of a rogue mathematician’s search for an answer to questions like these, questions which have to do with how we measure ‘roughness’ in the world around us: from the sharp edges of a stock price graph to the uneven surface of a cauliflower. 1 It tells the story of how different kinds of ‘roughness’ can be described by different kinds of statistical distributions, and how we may have been using the wrong distribution to price our bonds and derivatives all along.