Is Cauchy distribution better than Normal with probability to forecast fat tail events?
Someone on my Facebook noted this so thanks to then:
http://www.cmap.polytechnique.fr/~touzi/Poly-MAP552.pdf
Click to access mathcamp02.pdf
This is what was said:
https://en.wikipedia.org/wiki/Ratio_distribution
A ratio distribution (or quotient distribution) is a probability distribution constructed as the distribution of the ratio of random variables having two other known distributions.
The Cauchy distribution is an example of a ratio distribution
