4 ms·
The uniform distribution is the wrong distribution for this. A normal distribution is better, but also wrong- the normal distribution significantly under-predic
by nwallin 5y ago
The uniform distribution is the wrong distribution for this. A normal distribution is better, but also wrong- the normal distribution significantly under-predicts extreme events relative to the stock market.
Can you try it with the Laplace distribution? It's a bell curve like the normal distribution, but has fat tails. Extreme events aren't common, but much more common than with a normal distribution.
https://arxiv.org/pdf/1906.10325.pdf https://arxiv.org/pdf/1906.10325.pdf