This is a summary of links featured on Quantocracy on Sunday, 03/20/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Predicting Stock Market Returns Lose the Normal and Switch to Laplace [Six Figure Investing]Everyone agrees the normal distribution isnt a great statistical model for stock market returns, but no generally accepted alternative has emerged. A bottom-up simulation points to the Laplace distribution as a much better choice. A well-known problem in financial risk assessment is the failure of the normal distribution (also known as the Gaussian distribution) to correctly predict big up or