The Central Limit Theorem and Sampling

Re:The Central Limit Theorem and Sampling by kgwgk on Sunday July 07, 2019 @10:50AM (#20375354)

Stock prices surely have finite variance... but it’s true that it can be high enough to be problematic and if you choose to use an infinite-variance distribution to model prices you may need to pay attention to the consequences.

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Re:The Central Limit Theorem and Sampling by deepsun on Wednesday July 10, 2019 @01:58AM (#20399478)

> Stock prices surely have finite variance.

Are you sure? On my data, they are most closely modeled by Pareto distribution (infinite variance).

As far as I remember, that was discovered by Mandelbrot, studying cotton stocks.

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Re:The Central Limit Theorem and Sampling by kgwgk on Wednesday July 10, 2019 @05:07AM (#20400331)

Do you really think there is a non-zero probability of the price of a stock, say Apple, closing today over $1000? Over $1mn? Over $1bn? Over $184467440737095516.15 which is the largest number of cents that can be stored as a 64-bit integer? Over 10^100 dollars?

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