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fat tail

Is Cauchy distribution better than Normal with probability to forecast fat tail events?

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 …

Is Cauchy distribution better than Normal with probability to forecast fat tail events? Read More »

Combo of volatility clustering,GARCH,fat tail analysis be EXTREME highest potential if profit in quant algo automated trading?

Combo of volatility clustering,GARCH,fat tail analysis be EXTREME highest potential if profit in quant algo automated trading? Let me know your thought by responding to this forum posting: http://quantlabs.net/academy/forum/quant-academy-forum/anyone-got-opinion-on-combining-fat-loss-analysis-with-volatility-clustering-with-garch/#p353 Or just commenting below. If you got ideas, let me know privately even because I think this is something not ever talked about or publicly commented …

Combo of volatility clustering,GARCH,fat tail analysis be EXTREME highest potential if profit in quant algo automated trading? Read More »

Could 2014 and fat tail quant analysis combine to make you an instant millionaire this year ?

Could 2014 and fat tail quant analysis combine to make you an instant millionaire this year ? First: To you all you skeptics, this is not one of those crappy quick rich schemes. It is just about knowledge, technology, and being in the right place at the right time. I just got this from Mike …

Could 2014 and fat tail quant analysis combine to make you an instant millionaire this year ? Read More »

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