Quant Finance Advent of Code EP 3: Volatility Introduction

[@mpfiesty]

This looks like it’s gonna be a good series! Thanks for the content.

[@scorsoneenterprises7230]

New video just out!!

[@balintmihalik4950]

Hi Joe, what is the reason for multiplying by sqrt(252) when calculating the annualized volatility? Should it not be sqrt(252/20), since we are calculating the standard deviation for a 20 day period to begin with? Thanks for making these videos, they are really interesting and fun to watch

[@scorsoneenterprises7230]

@@balintmihalik4950 appreciate the kind words. That’s a good point, you’re not wrong at all. The value does change daily though, not monthly so you can get away with the sqrt(252) bc the frequency is still daily. If we ever had gaps in the data we’d have to change the denominator. :)

[@balintmihalik4950]

@@scorsoneenterprises7230 Makes sense, thank you!

[@hackerborabora7212]

As always i have new news 😅 nixtla have advanced model called time Gen 1 pls lets play with some data ❤❤

[@scorsoneenterprises7230]

love it. So 2025 we got FINRL, Hawkes process, an nixtla

[@hackerborabora7212]

@@scorsoneenterprises7230 I think like data science mind this is just tools the goal is how you see the world state with multi vision data politique science this is the bigdata

[@scorsoneenterprises7230]

@@hackerborabora7212i was at a conference and a speaker equated ML to a formula 1 car. Idk how much you know abt racing but a team called Haas uses Ferrari engines. Ferrari can consistently fight for the win, Haas can barely score points. It’s not just about the engine but the rest of the car as well