In financial markets, it is the probability measure that depends on observation of market prices in the real life convext, rather than using assumptions such as risk-free rate and arbitrage-free settings. The historical data/ observations used in calculation of probabilities are said to be deployed in a real world setting. Arriving at real world measure is not an easy task. An analyst can depend on market signals such as equity market signals.
It is also known as RW measure, statistical measure, market measure, actual measure, physical measure, historical measure, etc.
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