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He explained his views and alternative finance theory in a book: The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin and Reward. In options markets, the difference in implied volatility at different strike prices represents the market's view of skew, and is called volatility skew .
Megan Horneman, Verdence Capital Advisors Director of Portfolio Strategy, joins Yahoo Finance to discuss outlook on the overall market, tapering from the Federal Reserve, and potential market ...
The Federal Reserve made its long-awaited taper announcement Wednesday, and the bulls didn't miss a beat, driving stocks to record highs. Stock Market Today: The Taper Is On, And Stocks Take Off ...
Pursuing a trading strategy with a Taleb distribution yields a high probability of steady returns for a time, but with a risk of ruin that approaches eventual certainty over time. This is done consciously by some as a risky trading strategy, while some critics argue that it is done either unconsciously by some, unaware of the hazards ("innocent ...
Risk of ruin is a concept in gambling, insurance, and finance relating to the likelihood of losing all one's investment capital or extinguishing one's bankroll below the minimum for further play. [1] For instance, if someone bets all their money on a simple coin toss, the risk of ruin is 50%.
In finance, the noisy market hypothesis contrasts the efficient-market hypothesis in that it claims that the prices of securities are not always the best estimate of the true underlying value of the firm.
With this knowledge, investors can have an edge in predicting what stocks to pull out of the market and which stocks — the stocks with the upward revision — to leave in. Martin Weber’s studies detract from the random walk hypothesis, because according to Weber, there are trends and other tips to predicting the stock market.
A higher volatility stock, with the same expected return of 7% but with annual volatility of 20%, would indicate returns from approximately negative 33% to positive 47% most of the time (19 times out of 20, or 95%). These estimates assume a normal distribution; in reality stock price movements are found to be leptokurtotic (fat-tailed).