Leptokurtic frequency distribution: Difference between revisions
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A leptokurtic frequency distribution (or leptokurtotic distribution) has a larger number of values clustered at the peak and in the tails, than a comparable normal distribution with the same variance and mean. | A leptokurtic frequency distribution (or leptokurtotic distribution) has a larger number of values clustered at the peak and in the tails, than a comparable normal distribution with the same variance and mean. | ||
A possible explanation for this shape is that the market under review is mean reverting for small market movements (explaining the clustering at the peak) and trending for large market movements (explaining the clustering in the tails). | A possible explanation for this shape is that the market under review is mean reverting for small market movements (explaining the clustering at the peak) and trending for large market movements (explaining the clustering in the tails). | ||
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* [[Lognormal frequency distribution]] | * [[Lognormal frequency distribution]] | ||
* [[Mean reversion]] | * [[Mean reversion]] | ||
* [[Normal frequency distribution]] | * [[Normal frequency distribution]] | ||
* [[Tail]] | * [[Tail]] | ||
* [[Trend analysis]] | * [[Trend analysis]] | ||
* [[Volatility smile]] | * [[Volatility smile]] | ||
[[Category:The_business_context]] | |||
Latest revision as of 20:54, 1 July 2022
A leptokurtic frequency distribution (or leptokurtotic distribution) has a larger number of values clustered at the peak and in the tails, than a comparable normal distribution with the same variance and mean.
A possible explanation for this shape is that the market under review is mean reverting for small market movements (explaining the clustering at the peak) and trending for large market movements (explaining the clustering in the tails).
