Fat tails wag winning dogs


Tails 1
Histogram VXX frequency distribution
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This is not a Normal Distribution like Tails 6-8 below but a skewed distribution (kurtosis) with positive fat tails.

Tails 2
Cumulative histogram of VXX year 2011
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Tails 3
%VXX averages vs Standard Deviation, Year 2011
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Tails 4
Cumulative %VXX gain vs cumulative # of days, Year 2011
VXX gains obey the 80/20 Rule too

Tails 5
Cumulative %VXX loss vs cumulative # of days, Year 2011
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VXX losses do not obey the 80/20 Rule
Losses are closer to 80/30

Tails 6
Normal curve standard devoation
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Tails 7
Tails 8
Standard deviation normal distribution
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Source



 2011


%VXX (-) (+)
Sum 20.69 -409.47 430.17
Count 252 140 112
Average 0.08 -2.92 3.84
StDevP 4.66 2.19 4.17

to be continued