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An Alternative Estimation of Market Volatility based on Fuzzy Transform

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  • Luigi Troiano
  • Elena Mejuto Villa
  • Pravesh Kriplani

Abstract

Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the application of fuzzy transform and its inverse as an alternative measure of volatility. The measure obtained is compatible with the definition of risk measure given by Luce. A comparison with standard definition is performed by considering the NIFTY 50 stock market index within the period Sept. 2000 - Feb. 2017.

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  • Luigi Troiano & Elena Mejuto Villa & Pravesh Kriplani, 2017. "An Alternative Estimation of Market Volatility based on Fuzzy Transform," Papers 1705.01348, arXiv.org.
    • Handle: RePEc:arx:papers:1705.01348
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    File URL: http://arxiv.org/pdf/1705.01348
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    Cited by:

    1. Antonio Pepiciello & Alfredo Vaccaro & Mario Mañana, 2019. "Robust Optimization of Energy Hubs Operation Based on Extended Affine Arithmetic," Energies, MDPI, vol. 12(12), pages 1-15, June.

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