search

quantopian / empyrical

Common financial risk and performance metrics. Used by zipline and pyfolio.
https://quantopian.github.io/empyrical
Apache License 2.0
1.31k stars 406 forks source link

Literature for levy exponent in annual_volatility? #104

Open MaxBenChrist opened 6 years ago

MaxBenChrist commented 6 years ago

Hi quantopian Team,

Thanks for the great empyrical library :) !

I am currently researching on how to set the levy stability parameter for the annualization of the per period volatility:, the respective code are is https://github.com/quantopian/empyrical/blob/master/empyrical/stats.py#L501

I kind of aware about the underlying problem (period volatility can over- or underestimate the annual volatility depending on return distribution) but I lack literature on it. Can you recommend a good source on the topic? most times people are just using alpha=2 without an explanation

Cheers

Max