Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing

By Akash Deep, Svetlozar T. Rachev, Frank J. Fabozzi

Published 2025-11-20

Everscope rating

1863

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

5 / 5

About this paper

Methodology: Behavioral Student's t Econometric Framework. Problem types: Density Estimation, Risk Management, Time Series Forecasting, Portfolio Optimization, Asset Pricing, Model Selection.

arXiv:2511.16563 · Code · Paper rankings

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