Subject: Addition to "Quantitative Analysis of Non-Linear High Entropy Economic Systems VII"

From: John Conover <john@email.johncon.com>
Subject: Addition to "Quantitative Analysis of Non-Linear High Entropy Economic Systems VII"
Date: Tue, 09 Mar 2010 23:48:15 -0800



Black Swan financial catastrophes do exist in financial time series due
to the Laplacian probability distribution of the marginal increments of
the series.

The assumed Normal/Gaussian probability distribution used by many
methodologies used in the industry significantly under estimates the
frequencies of the catastrophes.

        John

http://www.johncon.com/john/correspondence/060828101013.7889.html#appendixIV
--

John Conover, john@email.johncon.com, http://www.johncon.com/


Copyright © 2010 John Conover, john@email.johncon.com. All Rights Reserved.
Last modified: Tue Mar 9 23:56:16 PST 2010 $Id: 100309235047.19895.html,v 1.0 2010/03/10 08:33:21 conover Exp $
Valid HTML 4.0!