volatility scaling
2 statements across 1 episodes · 0 bullish · 2 bearish · 1 people on the record · first statement Mar 18, 2020 by James Aitken · across every show →
Everything said about volatility scaling, oldest first
Mar 18, 2020 negative
Aitken: Volatility Scaling Relies on the Fallacious 'Slower Fool Theory'
“Volatility scaling, or the assumption of volatility scaling, I think had a large hand in the disruption we've seen, and just to finish this point, there was a marvelous article written in the autumn of 1987 by an extraordinary Chicago trader called Richard Den…”
Mar 18, 2020 negative
Aitken: Multi-Strategy Funds Rely Heavily on Volatility Scaling
“The past several years have been all about volatility scaling. All these gigantic multi-strategy businesses, absolute return strategies and others. It's all about volatility scaling. When implied volatility comes down, I have to increase my exposure to keep up…”