Sigma

Symbol for standard deviation or volatility.

Often used as measure of how unusual or improbable an event or price move is.

For instance, a "three sigma move" has size of 3x standard deviation, or a "three sigma event" is one which should only happen in 0.3% of cases (assuming normal distribution, for which 99.7% of observations lie within 3 standard deviations from the mean).

This is usually imprecise in finance, where most asset return distributions are not exactly normal.

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