{"paper":{"title":"Observability of Market Daily Volatility","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.ST","authors_text":"Filippo Petroni, Maurizio Serva","submitted_at":"2015-03-27T11:43:06Z","abstract_excerpt":"We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 until 2014. We show that it is possible to define a Daily Market Volatility $\\sigma(t)$ which is directly observable from data. This quantity is usually indirectly defined by $r(t)=\\sigma(t) \\omega(t)$ where the $r(t)$ are the daily returns of the market index and the $\\omega(t)$ are i.i.d. random variables with vanishing average and unitary variance. The relation $r(t)=\\sigma(t) \\omega(t)$ alone is unable to give an operative definition of the index volatility, which remains unobservable. On the contrary, "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1503.08032","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}