Stable distributions and their applications
Stable distributions and their applications
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发表时间：
2016-09
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通讯作者：
I. Volchenkova
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作者：
I. Volchenkova
本文的目的是表明，在金融中使用重尾分布在理论上是没有根据的，可能会导致重大的误解和谬误的模型解释。主要原因似乎是对分布尾部概念的错误理解。同样，在基于真实的数据的模型中，集中在分布的中心部分而不是尾部似乎更合理。
The aim of this thesis is to show that the use of heavy-tailed distributions in finance is theoretically unfounded and may cause significant misunderstandings and fallacies in model interpretation. The main reason seems to be a wrong understanding of the concept of the distributional tail. Also in models based on real data it seems more reasonable to concentrate on the central part of the distribution not tails.