Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling
Applications
2016-02-02 v1 Mathematical Finance
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.
Keywords
Cite
@article{arxiv.1602.00256,
title = {Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling},
author = {Lev B. Klebanov and Greg Temnov and Ashot V. Kakosyan},
journal= {arXiv preprint arXiv:1602.00256},
year = {2016}
}
Comments
keywords:outliers, financial indexes, heavy tails, stable distributions