Muy brevemente -y de forma literata- Brett Steenbarger, responde esto en un post de su blog Trader Feed.
Imagine the market affected by two relatively independent vectors. One vector describes directionality: the “trendiness” of the market. The other vector describes volatility: the degree to which markets vary around a central price.
(…) Both vectors are distributed in a non-stationary way through the trading day. That is, measures of trendiness and volatility exhibit different means and standard deviations through the day.
(…) Many trading problems occur because traders trade the vectors as if they are stationary (…)