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

preprint2016arXivOpen access

Abstract

In the present paper, we discuss contra-arguments concerning the use of Pareto-Levý 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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