<DrumBeat: September 22, 2006 The Oil Drum DrumBeat: September 23, 2006>

161 comments on How Periodic Are the Oil Price Fluctuations?

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obdacher on September 23, 2006 - 5:04am Permalink | Subthread | Parent | Comments top
That is not correct. The standard deviation varies with the square root of the trading period. So if 12 months gives you 30% then 2 months is about (30x 30=900/6=150 SQRT = 12,25%)
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obdacher on September 23, 2006 - 5:13am Permalink | Subthread | Parent | Comments top
Then I have to add, that 78 Dollars a Barrel certainly isn´t the mean.
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Halfin on September 23, 2006 - 9:43pm Permalink | Subthread | Parent | Comments top
Thanks for the correction. I got confused because volatility when defined as the square of standard deviation is in fact proportional to time, and sometimes traders use the term 'volatility' when they are talking about the SD. Looks like Khebab did the calculation carefully below and got a more reasonable answer.
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obdacher on September 24, 2006 - 4:15am Permalink | Subthread | Parent | Comments top
It is such a pleasure to be part of a civilized debate. I learn a lot here at the oil drum.
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161 comments on How Periodic Are the Oil Price Fluctuations?

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