Tagged Questions
3
votes
2answers
95 views
Transformation to reduce standard deviation without changing median
Consider some negative skew and high kurtosis return time-series $X_t$. I do not know the functional form of the pdf of $X_t$ and have about 150,000 data points.
Suppose that I was to create an ...
1
vote
0answers
69 views
How to trade risk-adjusted returns?
Why does dividing daily returns by daily range eliminates fat tails and results in an (almost) gaussian distribution?
And how could that distribution be exploited to enter trades?
