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arXiv · 1602.00256

Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling

Lev B. Klebanov·Greg Temnov·Ashot V. Kakosyan
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Abstract

In the present paper, we discuss contra-arguments concerning the use of Pareto-Lev\'y distributions for modeling in Finance. It appears that such probability laws do not provide sufficient number of outliers observed in real data. Connection with the classical limit theorem for heavy-tailed distributions with such type of models is also questionable. The idea of alternative modeling is given.

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Lev B. Klebanov, Greg Temnov, Ashot V. Kakosyan. 2016-01-31. Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling. https://arxiv.org/abs/1602.00256

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