Re: Profit dreariness

From: John Conover <>
Subject: Re: Profit dreariness
Date: 21 Jul 1999 16:48:29 -0000

David Lloyd-Jones writes:
> "S. Hales" wrote:
> > Depends on the time scale.  Over time a stock's price volatility could
> > approach the normal distribution but over shorter time scales exhibit fat
> > tails.
> But empirically the fat tails show up at all time scales, don't they?
> My impression was that people only us normal and log-normal distributions
> because they're easy to study, not because they represent the real world -- like
> the guy looking for his keys under the streetlight rather than where he lost
> them.

Hi David. Yea, the US exchanges exhibit leptokurtosis for at least the
last 27 years of daily data:

The DJIA does the same for the century. Looks like about a 57%
persistence from one day to the next.



John Conover,,

Copyright © 1999 John Conover, All Rights Reserved.
Last modified: Sun Nov 14 00:01:38 PST 1999 $Id: 990721094913.15135.html,v 1.0 2001/11/17 23:05:50 conover Exp $
Valid HTML 4.0!