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How to estimate mixture of two normal distributions? With limited data

When one normal used to capture the head of the real distribution and another the tail. … For stocks with huge data, that's representative of the real underlying distribution, we can use brute force methods and fit our model. …
Alex Craft's user avatar
3 votes
0 answers
355 views

Example how to model stock price with Pareto distribution according to Mandelbrot and Taleb

To estimate price distribution from historical prices? Ideally with some scripts in Python, R, Java etc. …
Alex Craft's user avatar
0 votes
1 answer
167 views

Why stock prices changes don't follow Pareto Distribution?

As far as I know the distribution should look like Power law distribution (Pareto distribution). With CDF being a line on log-log plot. But the actual CDF is not looking like a line on log-log plot. … If it's not Pareto, what kind of Distribution could it be? …
Alex Craft's user avatar