[Haskell-cafe] Higher order randomness and the fat tails
stevelihn at gmail.com
Fri Apr 25 08:42:18 EDT 2008
This email is only remotely connected to this list. Recently I am doing some
research on the fat tails (in fact, I simply bumped into it) on the stock
market. I came up with an equation which I think solves the fat tails --
which is really the Levy stable distribution. During the complex arguments
that led to the solution, I coined a term called "Higher order randomness".
This is inspired by the concept of higher order function in Haskell.
* Higher order function operates on another function, instead on an ordinary
value. So higher order randomness operates on another randomness, instead of
directly producing the time series.
The request is the following. I know there are many scientists on this list.
If you or your colleagues happen to be involved or know any scenario that
has fat tail distribution, can you let me know? I only "solved" one scenario
-- numerically, not even analytically. Probability-wise, it is a dangerous
thing to claim I solve "the problem". So I'd like to collect as many
scenarios as I can. It can be financial related, or in other fields of
PS. I'd like to have some operational details and numbers. Not just a
general statement like "fat tail is observed in astronomy".
Thanks and sorry for the spam,
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