SSRN-We Don't Quite Know What We are Talking About When We Talk About Volatility by Daniel Goldstein, Nassim Taleb:
"Finance professionals, who are regularly exposed to notions of volatility, seem to confuse mean absolute deviation with standard deviation, causing an underestimation of 25% with theoretical Gaussian variables. In some fat tailed markets the underestimation can be up to 90%. The mental substitution of the two measures is consequential for decision making and the perception of market variability."
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