Trading and Fat Tails
نویسندگان
چکیده
منابع مشابه
Fat Tails
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A behavioral representative investor who evaluates a single risky asset based on cumulative prospect theory will often induce high kurtosis, negative skewness, and persistent autocorrelation into the distribution of market returns even if the asset payoffs are merely a sequence of independent coin tosses. These findings continue to hold even when the investor is simply loss averse.
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How much environmental damage would result from unabated water pollution, greenhouse gas (GHG) emissions, toxic waste disposal, and other potentially destructive activities? And whatever that environmental damage is expected to be, what economic and social cost will it have? In other words, what is the benefit of taking costly actions today or in the near future to reduce rates of pollution and...
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This paper addresses the statistical properties of time series driven by rational bubbles à la Blanchard and Watson (1982). Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes follow power-laws (exhibit hyperbolic decline). More precisely, we find that rational bubbles predict ...
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ژورنال
عنوان ژورنال: Applied Finance Letters
سال: 2016
ISSN: 2253-5802,2253-5799
DOI: 10.24135/afl.v1i1.3