Anti-Robust and Tonsured Statistics

Details Anti-Robust and Tonsured Statistics Anti-Robust and Tonsured Statistics

2011-10-20

arxiv.org/abs/1110.4648v1

Economy

Quantitative Finance

Statistical Finance

18 pages, 9 figures

Scientific paper

This describes a statistical technique called "tonsuring" for exploratory
data analysis in finance. Instead of rejecting "outlier" data that conflicts
with the model, this strips out "inlier" data to get a clearer picture of how
the market changes for larger moves.

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