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Self-Taught Quant (guest: Harel Jacobson)

The Market Huddle

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Is the Volatility Mean Reverting?

Volatility is a stationary process. So it is mean reverting by definition. What you want to do is when you want to counter the move, you wants to do it with that with a large enough buffer. And if you see some abnormalities in the volatilities, you want to make sure that you're not getting into a position which is going to kill you because of you don't understand the flow.

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