The κ-generalised Distribution for Stock Returns

By Samuel Forbes

Rating

1597
Battle Count: 94

Relevance

8/10
Provides a potentially more accurate model for stock return distributions, which is fundamental to many quantitative trading strategies and risk models

Implementation Complexity

5/10
Requires implementation of κ-generalised distribution and numerical optimization for MLE, but overall methodology is straightforward

Reproducibility

4/5
Code available on GitHub, data source specified, methodology clearly explained

About this paper

Methodology: Maximum Likelihood Estimation. Problem types: Distribution Fitting, Statistical Analysis.

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