4 ms·
How often do "six sigma" events occur in financial markets? A hell of a lot more often then the 0.0000001973% that they would in a normally distributed system.
by MaysonL 13y ago
How often do "six sigma" events occur in financial markets? A hell of a lot more often then the 0.0000001973% that they would in a normally distributed system.
- tsax 13y agoExactly. I'm astounded that this basic fact - that financial modelers have been using the wrong distribution for decades IS NOT BEING DENOUNCED. For example, the Capital Asset Pricing Model (CAPM) which assumes that returns fall on a normal distribution.