Extreme events: blending PCA and ICA [5]

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Bullet points include: There are various ways of visualising fat tails in a single return distribution. Easiest to see in format (c) below. By ‘fat tail’ we mean probability of extreme-sized outcomes (returns / movements / events) seems to be higher than if coming from a (log) Normal distribution. Example probability density function, Example cumulative probability distribution plot. Example quantile-quantile plot. Normal distribution. Example fat-tailed distribution

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