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This article is based on paper Taleb published in 2007. If you want to test yourself, submit yourself to experiment in page 3: http://papers.ssrn.com/sol3/paper

This article is based on paper Taleb published in 2007. If you want to test yourself, submit yourself to experiment in page 3: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=970480 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=970480

drblast 13y ago
Thanks! Always nice to read the full research.
CamperBob2 13y ago
A stock (or a fund) has an average return of 0%. It moves on average 1% a day in absolute value; the average up move is 1% and the average down move is 1%. How does that yield an average return of 0%?
- MaysonL 13y ago
  It goes up a little more often than it goes down?
- baking 13y ago
  The usual way to do this is to take the natural log, so an up 1% day followed by a down 1% day (or vice versa) will always net out to a 0% change.
baking 13y ago
Yes, start by writing a confusing question. One that starts talking about average up moves and average down moves and then switches to asking about the standard deviation of moves. Then publish a paper showing that people were confused by your question. Now you have "research" to back up your claim that everyone is confused by "mean deviation" and "standard deviation".