Fat Tails
نویسنده
چکیده
This reprint is provided for personal and noncommercial use. For any other use, please send a request Brian Hayes by electronic mail to [email protected].
منابع مشابه
Correlations have fat tails, too
The investment community is, by now, familiar with the idea of fat tails. The concept moved beyond the domain of actuaries and quant geeks with Nassim Nicholas Taleb’s book The Black Swan (2007). Taleb drove home the point that volatility does not tell the whole story of the uncertainty associated with asset returns. In particular, extreme outcomes occur more frequently (i.e., tails are fatter)...
متن کاملMulticanonical simulations of the tails of the order-parameter distribution of the two-dimensional Ising model
We report multicanonical Monte Carlo simulations of the tails of the order-parameter distribution of the two-dimensional Ising model for fixed boundary conditions. Clear numerical evidence for “fat” stretched exponential tails is found below the critical temperature, indicating the possible presence of fat tails at the critical temperature.
متن کاملFat-Tailed Uncertainty in the Economics of Catastrophic Climate Change
I believe that the most striking feature of the economics of climate change is that its extreme downside is nonnegligible. Deep structural uncertainty about the unknown unknowns of what might go very wrong is coupled with essentially unlimited downside liability on possible planetary damages. This is a recipe for producing what are called ‘‘fat tails’’ in the extremes of critical probability di...
متن کاملLearning , Growth and Climate Feedbacks Does the Fat Tail Wag the Dog ? ∗
We study the effect of potentially severe climate change on near-term optimal climate change policy, accounting for learning and uncertainty in the climate system. In particular, we study the possibility that a doubling of greenhouse gases causes very high temperature changes (a high climate sensitivity). We build an integrated assessment model to test how fat tails in the distribution of the c...
متن کاملAre output growth-rate distributions fat-tailed? Some evidence from OECD countries
This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions are well-approximated by symmetric exponential-power densities with tails much fatter than those of a Gaussian. Fat tails robustly emerge in output growth rates independently of: (i) the way we measure aggregate output; ...
متن کاملSpeculative bubbles and fat tail phenomena in a heterogeneous agent model
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of traders’ strategies. Furthermore, we show that the distributions of returns generated from the heterogeneous agent model have fat tails, a remarkable stylize...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2007