Fat tails,Excess Kurtosis in Asset Return:A New Perspective

摘要

A novel theoretical explanation for the anomalies in asset return in the perspective of the algorithm of return rate is proposed.The distribution of asset return is characterized by reciprocal normal (RN) distribution,which is proved to be of excess kurtosis,fat tails and skewness,and asymptotically approximates to the normal distribution.Theoretical analysis and numerical simulations show that the algorithm of asset return itself partially accounts for the fat tails and excess kurtosis in asset return.