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What happens after big spikes in the VIX?

I ran a quick study this morning to look at what happens to stock market volatility following large single day volatile events. Note that we are looking at market volatility here, not direction, because the directional message is simpler and clear: historically, large...

Common sense checks for quantitative data

Yesterday I wrote a post that looked at asset returns and how to compound them. That post was in response to a reader’s (Anthony’s) question, and I want to continue answering more of the question today. Here’s the question in its entirety, with the...