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Heavy Tails in Financial Markets: Stylized Facts, Modeling, and Implication
- Title Heavy Tails in Financial Markets: Stylized Facts, Modeling, and Implication
- Speaker 严兴 (中国人民大学)
- Date 2022年8月26日 10:30
- Venue https://meeting.tencent.com/dm/abcv7DwykdVv TencentMeeting：901-529-997
In theories related to probability, researchers are happy to describe the world with succinct distributions such as Gaussian distribution. However, the heavy tail phenomenon is common in reality. This talk will focus on heavy tails in financial markets and their modeling and implications. In statistics, researchers develop models for heavy tails and use data to infer the parameters. The usage of data for fitting models is the primary goal in statistics or machine learning. However, in natural sciences such as physics, how to deal with the heavy tails more theoretically is still an open question, and open-minded discussions are welcome.