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WAY, WAY OT

Filed at 12:23 pm under by dcobranchi

Fit sP500 data.jpg

8 Responses to “WAY, WAY OT”


Comment by
Mike Peach
January 26th, 2004
at 1:01 pm

Come on then you got me. What is it?


Comment by
meep
January 26th, 2004
at 1:27 pm

So I see you’ve got something like a modified Gaussian (though the exponent doesn’t seem to be 2) — and you’re fitting some kind of distribution to it.

What’s that data you’re fitting?


Comment by
Daryl
January 26th, 2004
at 2:05 pm

Sorry for the confusion. These are normalized S&P500 daily returns over some 50 years. It’s for my other “hobby,” mechanical investing. I needed a place to post a quick picture.


Comment by
speedwell
January 27th, 2004
at 8:54 am

Oh, cool. Thanks, Teacher. Can we see the gold market analysis next?


Comment by
Ed Hurst
January 27th, 2004
at 10:11 am

I can’t help it, Daryl: that’s just like the legendary Bell Curve…


Comment by
Daryl Cobranchi
January 27th, 2004
at 10:30 am

It’s close. In a Normal bell curve e=2 by definition. This is a modified Gaussian.


Comment by
meep
January 27th, 2004
at 11:22 am

Hmmm, doesn’t seem to fit the tails very well. I’m doing a similar thing for my job right now (and yes, it’s a mechanical investing product). I was going to try a Weibull r.v.


Comment by
Anonymous
January 27th, 2004
at 1:54 pm

MP,
I’d love to talk to you about MI. Drop me an email.

Daryl