Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling
classification
📊 stat.AP
q-fin.MF
keywords
distributionsmodelingcontra-argumentsalternativeappearsclassicalconcerningconnection
read the original abstract
In the present paper, we discuss contra-arguments concerning the use of Pareto-Lev\'y distributions for modeling in Finance. It appears that such probability laws do not provide sufficient number of outliers observed in real data. Connection with the classical limit theorem for heavy-tailed distributions with such type of models is also questionable. The idea of alternative modeling is given.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.