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Strategies & Market Trends : Gorilla and King Portfolio Candidates -- Ignore unavailable to you. Want to Upgrade?

To: Thomas Mercer-Hursh who wrote (25564)	5/30/2000 11:57:00 AM
From: mauser96	Read Replies (1) \| Respond to of 54805

My most recent source for this is the books by Edgar E. Peters. He uses data over a 100 year span, in several different markets, so this was no casual study. It's possible that the difference between what you found and his studies are related to the time span involved or the frequency of the data. I don't have the books with me, but I remember one example was based on 5 day returns on the S&P. I have seen the same information in other sources. The tendency of actual prices ( as opposed to theoretical random prices) to concentrate quite close to the mean is even more marked than the fat tails. Of course even a hundred years of information isn't total proof, but I doubt if either of us will be around for the second or third hundred years of trying to prove this <<gg>>. You would probably find the books to be interesting reading. All this may have limited practical value except to reinforce the idea that extreme events are very much part of the stock market, Gaussian or not, and that they can happen anytime.