In finance, volatility (usually denoted by σ) is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns.
Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option).
Hi,
I am not sure whether this is the right forum to post this. Please let me know if I should move and will do so.
Overall question: Does the 'volatility' (i.e. standard deviation of the log returns) follow any sort of statistical distribution - maybe normal or log-normal?
Background/...
Hi, All.
Given a scenario of a closed volume of volatile liquid and it's associated vapor above boiling point (ex. butane in a can at room temp.) which is dispensed through some tube or line:
Is there some filtering medium capable of ensuring that only vapor may pass through the line, producing...
Raoult's law: P = xP* , combined with Dalton's law becomes y = xP*/P
Henry's law: P = kx, combined with Dalton's law becomes y = kx/P
Relative volatility: y = ax/(1 + (a -1)x)
Raoult's law and Henry's law are linear when temperature and pressure are kept constant. But if we vary the temperature...
How readily does carbon 14 volatilize from (meta)stable forms of elemental carbon?
Both graphite and diamond burn in hot air but are very stable in contact with cold air.
Carbon 14 has maximum decay energy of 159 keV.
At that energy, the electrons are stopped by 20 cm of air, or about 0,2 mm of...
Hello, could anyone please explain me some logic or derivation behind the approximation:
Found it in the Hull Derivatives book without further explanation. Thanks for help
I´ve been trying to compute a volatility of invesment with currency hedging and I have a question. Let's take this example. We have our money in a fond copying the S&P500 index, which has 16% volatility, we also know that the current volatility of a dollar toward our currency is 5%. We want to...
Is the boiling point of a pure component the only factor used to determine which component is more volatile in a binary mixture. Take, for example, the case of isopropanol and cyclohexane.
Isopropanol has a bp of 82.6 C, while cyclohexane's is 81.
The two are are very close in value; however...
Homework Statement
which of the following is least volatile (1)propyl fluoride (2)propyl chloride (3)isopropyl bromide (4)propyl bromide
Homework Equations
_______
The Attempt at a Solution
The boiling points of different alkyl halides containing the same halogen increase with increasing...
Does anyone here know much about these topics? I understand they surround the absence of normally distrubted returns, excessive kurtosis. Fat tails somehow disprove the EMH? Can anyone explain this argument?
I've been advised that there are links to turbulence in fluid dynamics, joined by the...
I'm having a bit of trouble understanding how volatility is measured. I understand the units of volatility are mg/m3, but I don't know how a measurement of concentration relates to how volatile a liquid is. Wouldn't the vapour concentration of the liquid depend on the amount of time that it was...
I have a set of results over time that show the volatility of a batch and trying to determine state at the latter end of the process whether a batch is stronger or getting weaker?
B4 has outperformed all other batches and showing an increase in latter results which means it is slowing or...
When we have ethanol on our skin it feels colder than when we have water on our skin. The explanation given was that more energy is required to turn one molecule of liquid ethanol to gaseous ethanol than for one molecule of liquid water. However, in that case won't more of the water evaporate...
I have found the following function for calculating implied volatility in MATLAB.
When it finds a solution, the solution tends to be correct, but the function does not take into account, that the slope can be zero. If this happens, you divide by zero and the function return inf or -inf, which...
Homework Statement
why aldehydes more volatile than ketones
Homework Equations
NONE
The Attempt at a Solution
I would have presumed that as BOTH contain the same C=O group the overall polarity of the molecule would be the same. hence the strength of the dipole forces should be the...
I know that volatility is more or less proportionally related to vapor pressure.
If they are directly related, are they any exceptions where a more volatile substance may have a higher boiling point than a less volatile substance?
Homework Statement
(I)Explain how each of the following factors affect the vapour pressure of a liquid: (a)surface area, (b)volume, (c)attractive intermolecular forces, (d)temperature, (e)density of liquid.
(II)Order the following substances in terms of volatility: CH4, CBr4, CH2Cl2, CH3Cl...
May I Ask Another Ques?
Because I want to know the distribution of component of a non-ideal multicomponent mixture in a distillation column, I had calculated the activity coefficient for a particular multicomponent system at a temperature, let's say 60 C.
Thus I can obtain its relative...
Options prices are often based upon the volatility of a stock. I'm left to wonder how we might estimate volatility. Let:
r is the yearly expected rate of return
\sigma_r is the uncertainty in the yearly expected rate of return.
\sigma_y the daily volatility.
Then we might model the current...
When you pour some acetone on the ground and it evaporates does it leave any residue at all or does it vanish without a trace?
I love working with acetone because whenever I spill it on my hands I don't even have to wash them since it evaporates in a matter of seconds and doesn't even leave a...