Fat Tail Events – Does My Tail Look Fat In This? [Part 1] – ValueWalk Premium
Fat Tail Events

Fat Tail Events – Does My Tail Look Fat In This? [Part 1]

Investors and managers are concerned with "fat tails". In part one of a two part article we look at where fat tails come from and how they can be managed.

Introduction

“Extreme events”, “nonlinear dynamics”, “power laws”, “flash crashes”, “fractal processes”… a lot of academic, journalistic and practitioner ink has been spilled about “fat tail events” in financial markets. As is so often the case, a great deal of confusion has been generated by the casual use of subtle statistical concepts. Although this article isn’t attempting to be a statistical primer, it might help to illustrate . . .

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