ファットテール
正規分布の３σを離れた領域で、分布の盛り上がりがあること。移動平均乖離率の分布は正規分布に近いのですが、リーマン・ショック時などは、マイナスに大きく乖離した分布が形成されました。ファットテールは、稀に起こるものであり、通常の
正規分布を意識してトレードを行うと悲惨なことになってしまいます。
ゴールデン・チャート社提供
正規分布の３σを離れた領域で、分布の盛り上がりがあること。移動平均乖離率の分布は正規分布に近いのですが、リーマン・ショック時などは、マイナスに大きく乖離した分布が形成されました。ファットテールは、稀に起こるものであり、通常の
正規分布を意識してトレードを行うと悲惨なことになってしまいます。
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