Trend Following-Riding the Kurtosis

  • 31 Jan 2013
  • By Transtrend

How can the behavior of markets be viewed in the context of kurtosis? When kurtosis is the subject, most people acknowledge the major importance of fat tails, but not everyone really comprehends the underlying processes. The biggest mistake with respect to a high kurtosis is to concentrate completely on the fat tails and ignore the ‘high peak’.

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