I Have Always Wondered

日期:2012/07/15

I have always wondered to what extent a random walk with normally distributed steps would differ from a Pareto distribution with comparable means and third moments. I have never believed that stock prices are fractals or infinitely variance, or any way different from a shifting normal distribution or a mixture of same. The hazard rates of fall off for both distributions could be compared, and one would hypothesize that there would not be a observable difference.