Jamal Awil

← An Engine, Not a Camera

Were they Levy distributions? [fact]

Fama concluded that the distributions of stock-price changes were unequivocally fat-tailed. Were they Levy distributions? Were their variances infinite? Those were harder questions to answer. In any sample of finite size, the sample variance will always be finite even if the underlying distribution has an infinite variance, so these questions cannot be answered by calculating a variance.

Donald MacKenzie, An Engine, Not a Camera, loc. 499