Anti-Robust and Tonsured Statistics
AbstractThis describes a statistical technique called "tonsuring" for exploratory data analysis in finance. Instead of rejecting "outlier" data that conflicts with the model, this strips out "inlier" data to get a clearer picture of how the market changes for larger moves.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1110.4648.
Date of creation: Oct 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-01 (All new papers)
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- Austin Gerig, 2010. "Universal Laws and Economic Phenomena," Papers 1002.0377, arXiv.org, revised Jul 2010.
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