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No Stable Distributions in Finance, please!

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  • Lev B Klebanov

Abstract

Failure of the main argument for the use of heavy tailed distribution in Finance is given. More precisely, one cannot observe so many outliers for Cauchy or for symmetric stable distributions as we have in reality. keywords:outliers; financial indexes; heavy tails; Cauchy distribution; stable distributions

Suggested Citation

  • Lev B Klebanov, 2015. "No Stable Distributions in Finance, please!," Papers 1601.00566, arXiv.org, revised Jan 2016.
    • Handle: RePEc:arx:papers:1601.00566
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    References listed on IDEAS

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    1. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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    Keywords

    outliers; financial indexes; heavy tails; cauchy distribution; stable distributions;
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