From Hamzei's table....
Sigma channel +3 to -3
Probability of asset price travel 99.73002%
So i'd rather place my money on some reversion to the mean tomorrow rather than on fat tail.
Spx closed outside 3 sigma today
Started by
risk_management
, Aug 04 2011 08:05 PM
3 replies to this topic
#2
DrSP
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Posted 04 August 2011 - 09:18 PM
From Hamzei's table....
Sigma channel +3 to -3
Probability of asset price travel 99.73002%
So i'd rather place my money on some reversion to the mean tomorrow rather than on fat tail.
Same with VIX. In the last 10 years, VIX closed 10 times outside 3 sigma. 9 times we had significant drop in VIX next day.
You could be a billionaire or an industrial worker or a teacher or a moderator of a forum - Hold a good conscience because that is what matters.
#3
jjc
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Posted 04 August 2011 - 10:38 PM
From Hamzei's table....
Sigma channel +3 to -3
Probability of asset price travel 99.73002%
So i'd rather place my money on some reversion to the mean tomorrow rather than on fat tail.
What is the sample size (How long a moving ave)?
#4
thespookyone
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Posted 04 August 2011 - 10:55 PM
With 20 to 1 negative breadth today, if you are up by the close tomorrow-it won't be by very much. The risk reward doesn't work for me here on the long side tomorrow.
