No Stable Distributions in Finance, please!

Lev B Klebanov

Papers from arXiv.org

Abstract: Failure of the main argument for the use of heavy tailed distribution in Finance is given. More precisely, one cannot observe so many outliers for Cauchy or for symmetric stable distributions as we have in reality. keywords:outliers; financial indexes; heavy tails; Cauchy distribution; stable distributions

Date: 2015-12, Revised 2016-01
New Economics Papers: this item is included in nep-ecm and nep-rmg
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