Cantab Capital – Fat Tail Events – Does My Tail Look Fat In This? [Part 2]

Fat Tail Events – Does My Tail Look Fat In This? Part 2 by Dr Ewan Kirk, Cantab Capital

Investors and managers are concerned with “fat tails”. In the second part of this post, we look at kurtosis in more detail.

An apology and a warning

This piece is more technical and longer than I had expected. The problem we’re looking at here is subtle and not easy to distill down to a short, punchy and maths-free post. Sometimes the world isn’t simple.

Fat Tail Events – Introduction

In Part 1 of Does My Tail Look Fat In This, we saw how simple volatility scaling rules can help to reduce the incidence of fat tails and make market processes look a...