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). | ||
== See also == | == See also == | ||
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* [[Trend analysis]] | * [[Trend analysis]] | ||
* [[Volatility smile]] | * [[Volatility smile]] | ||
Revision as of 14:49, 13 July 2013
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).
