Kurtosis
Composite Tukey-type distributions with application to operational risk management
This paper investigates composite Tukey-type distributions and puts forward a new composite model, the improved flexibility of which is demonstrated.
Making Cornish–Fisher fit for risk measurement
In this paper, the authors develop a computational method to find a unique, corrected Cornish–Fisher distribution efficiently for a wide range of skewnesses and kurtoses.
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise
The Iberian electricity market: analysis of the risk premium in an illiquid market
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
Delta-hedged gains and risk-neutral moments
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
Giving the Omega ratio a new lease of life
Johnson-Omega could change the way financial firms measure portfolio performance
Quant Congress USA: BMW options "a recipe for disaster", says Dupire
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
Quant unlocks the physics of the flash crash
The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets