Paper: Volatility Volatility of Financial Markets

[Lester Ingber]

The paper markets98_vol.ps.Z [120K] is available at my InterNet archive:

          %A L. Ingber
          %A J.K. Wilson
          %T Volatility of volatility of financial markets
          %R DRW-98-1-VVFM
          %I DRW Investments LLC
          %C Chicago, IL
          %D 1998
          %O URL http://www.ingber.com/markets98_vol.ps.Z

          We   present   empirical   evidence   for   considering
          volatility  of  Eurodollar  futures  as  a   stochastic
          process,  requiring  a  generalization  of the standard
          Black-Scholes (BS) model which treats volatility  as  a
          constant.    We   use   a  previous  development  of  a
          statistical mechanics of financial  markets  (SMFM)  to
          model these issues.

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 /* Lester Ingber                                 Lester Ingber Research *
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