This is a summary of links featured on Quantocracy on Friday, 05/27/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Exploring Extreme Asset Returns [Quant Dare]Tail or extreme assets returns have been extensively studied. In his amazing paper: Empirical properties of assets returns: stylized facts and statistical issues, Rama Cont provides a framework on statistical analysis of price variations in various types of financial markets. He presents Heavy tails in asset returns as a stylized fact, i.e., statistical properties common across a wide