Counterparty risk and Leptokurtic frequency distribution: Difference between pages
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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 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). | |||
== See also == | == See also == | ||
*[[ | * [[Frequency distribution]] | ||
*[[ | * [[Leptokurtosis]] | ||
*[[ | * [[Lognormal frequency distribution]] | ||
*[[ | * [[Mean reversion]] | ||
*[[ | * [[Normal distribution]] | ||
* [[Normal frequency distribution]] | |||
* [[Tail]] | |||
* [[Trend analysis]] | |||
* [[Volatility smile]] | |||
Revision as of 14:19, 23 October 2012
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).
See also
- Frequency distribution
- Leptokurtosis
- Lognormal frequency distribution
- Mean reversion
- Normal distribution
- Normal frequency distribution
- Tail
- Trend analysis
- Volatility smile
