## “daily standard deviation of 1% moves 1% a day” – not so

In the financial markets, the definition of volatility is assumed to be standard deviation. However, in practice, people seem to either forget the definition or completely substitute it with the mean absolute deviation.For example, a time series of 29 zeroes followed by a single value of 1000 (i.e., 0, 0 ,0… , 1000) has a …