Central Limit Theorem

The distribution of financial returns made simple

January 23, 2012 | Pat

Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter periods within the long period. The log return over a year is the sum of the daily ... [Read more...]

CLT Standard Normal Generator

April 2, 2010 | Lee

I’ve found this standard normal random number generator in a number of places, one of which being from one of Paul Wilmott’s books. The idea is that we can use the Central Limit Theorem (CLT) to easily generate values distributed according to a standard normal distribution by using ... [Read more...]

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