Fat tails,Excess Kurtosis in Asset Return:A New Perspective

摘要：

A novel theoretical explanation for the anomalies in asset return in the perspective of the algorithm of return rate is proposed.The distribution of asset return is characterized by reciprocal normal (RN) distribution,which is proved to be of excess kurtosis,fat tails and skewness,and asymptotically approximates to the normal distribution.Theoretical analysis and numerical simulations show that the algorithm of asset return itself partially accounts for the fat tails and excess kurtosis in asset return.

关键词： Reciprocal normal (RN) distribution fat tail excess kurtosis

作者: You-fa SUN Cheng-ke ZHANG Jing-guang GAO

作者单位: School of Economics and Management,Guangdong University of Technology,P.R.China,510520

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 571-576

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）