Great post, was thinking about this and a question popped into my head, was curious how you think about this.
The idea of the coastline paradox in this context as you wrote is that if you sampled vol at higher frequencies/shorter time periods, you'd get a higher vol reading.
This needn't be true in a trending asset, right? As you've written before in the context of autocorrelation, etc. (https://moontowermeta.com/thinking-in-n-not-t/), sampling vol at a higher frequency/shorter time period can give a smaller vol reading.
Is the coastline thing then that it assumes some element of mean reversion/random structure/no trend?
Thanks for the thought piece, was quite informative.
Hi Kris,
Great post, was thinking about this and a question popped into my head, was curious how you think about this.
The idea of the coastline paradox in this context as you wrote is that if you sampled vol at higher frequencies/shorter time periods, you'd get a higher vol reading.
This needn't be true in a trending asset, right? As you've written before in the context of autocorrelation, etc. (https://moontowermeta.com/thinking-in-n-not-t/), sampling vol at a higher frequency/shorter time period can give a smaller vol reading.
Is the coastline thing then that it assumes some element of mean reversion/random structure/no trend?
Thanks for the thought piece, was quite informative.
Correct