Fat tail: Difference between revisions
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== See also == | == See also == | ||
* [[Black swan]] | |||
* [[CertFMM]] | * [[CertFMM]] | ||
* [[Frequency distribution]] | * [[Frequency distribution]] | ||
Revision as of 16:53, 12 August 2016
'Fat tails' describes the greater likelihood of extreme market conditions, than predicted by conventional models of probability.
This pattern is also known as 'leptokurtosis'.
This means that the likelihood and size of extreme negative events is systematically underestimated by conventional statisitcal models.
