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by nwallin
1843 days ago
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The uniform distribution is the wrong distribution for this. A normal distribution is better, but also wrong- the normal distribution significantly under-predicts extreme events relative to the stock market. Can you try it with the Laplace distribution? It's a bell curve like the normal distribution, but has fat tails. Extreme events aren't common, but much more common than with a normal distribution. https://arxiv.org/pdf/1906.10325.pdf |
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