英文标题：
《An Alternative Estimation of Market Volatility based on Fuzzy Transform》
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作者：
Luigi Troiano and Elena Mejuto Villa and Pravesh Kriplani
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最新提交年份：
2017
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英文摘要：
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the application of fuzzy transform and its inverse as an alternative measure of volatility. The measure obtained is compatible with the definition of risk measure given by Luce. A comparison with standard definition is performed by considering the NIFTY 50 stock market index within the period Sept. 2000 - Feb. 2017.
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中文摘要：
价格不确定性的实现由波动性捕获，即价格在一段时间内变化的趋势。这通常作为每日收益的标准差来衡量。在本文中，我们提出并研究了模糊变换及其逆作为波动性度量的替代方法的应用。所获得的度量与Luce给出的风险度量定义一致。通过考虑2000年9月至2017年2月期间的NIFTY 50股票市场指数，与标准定义进行比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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