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Overcoming Bias Commenter's avatar

Yes, but where does clustered volatility come from? Only the Santa Fe Institute has what seems to me to be a plausible model. The road to hell is paved with models that assume Gaussian distributions, and ignore heteroskedacity.

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Overcoming Bias Commenter's avatar

Tony K's comment was a good summary of Warren Buffett's stance on the issue:"I wonder if the problem is our definition of risk. I would contend that volatility may not be the same as risk. Volatility is more a function of time preference of returns. Risk to me, should be default or failure risk."

How many of these academics can predict future results, rather than just finding patterns in the past? Anybody can find statistically significant correlations, given enough data.

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