Economy – Quantitative Finance – Statistical Finance
Scientific paper
2011-10-29
Economy
Quantitative Finance
Statistical Finance
26 pages, 9 figures & 3 tables
Scientific paper
I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward, flexible and effective. Even when working with far fewer data points than are routinely required, it models non-Gaussian data samples, from peak center through far tails, within the context of a single probability density function (PDF) that is valid over an extremely broad range of dispersions and probability densities. The distribution is a precision tool to characterize the great risk and the great opportunity inherent in fat-tailed data.
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