Code and Notes for fat-tailed statistics.
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Feb 23, 2025 - Jupyter Notebook
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fat-tails
Here are 8 public repositories matching this topic...
Contingency Random Number Generator — numbers with controllable fat tails, volatility clustering, and scale convergence
python open-source finance monte-carlo quantitative-finance volatility stochastic-processes risk-management random-number-generator kurtosis market-simulation fat-tails
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Apr 12, 2026 - Python
Re-creating Fig. 19.3 from Nassim Taleb's Statistical Consequences of Fat Tails in Mathematica
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Jun 18, 2024 - Mathematica
Statistical analysis of fat tails, volatility clustering, and VaR underestimation in AAPL & TSLA returns — arXiv forthcoming
python finance statistics arxiv quantitative-finance volatility value-at-risk risk-management student-t fat-tails
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May 22, 2026 - Python
Statistical analysis of fat-tailed return distributions in NSE50 Indian equity markets: GARCH filtering, Student-t MLE, VaR comparison, and Misspecification Tax
python time-series scipy india quantitative-finance nse garch value-at-risk risk-management financial-econometrics student-t fat-tails
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Jun 6, 2026 - Python
Implementation https://arxiv.org/abs/1802.05495
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May 8, 2025 - Jupyter Notebook
This repository contains Python implementations of tables and figures from the reference textbook !Robust Statistics Theory and Methods!. The goal is to provide reproducible, executable code for visualizations and results presented in the book.
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Apr 17, 2026 - Python
Companion notebook for the post “Algo Backtests Are Lying to You.”
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Nov 25, 2025 - Jupyter Notebook
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