An Alternative Estimation of Market Volatility based on Fuzzy Transform

Luigi Troiano, Elena Mejuto Villa and Pravesh Kriplani

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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.

Date: 2017-05
New Economics Papers: this item is included in nep-rmg
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