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arXiv · 1601.00566

No Stable Distributions in Finance, please!

Lev B Klebanov
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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

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Lev B Klebanov. 2016-01-06. No Stable Distributions in Finance, please!. https://arxiv.org/abs/1601.00566

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