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/