Hedge Fund: Kurtosis Definition & Explanation : Hedge Fund

Written by Richard Wilson in his Hedge Fund Blog

Kurtosis Definition: In probability theory and statistics, kurtosis from the Greek word kurtos, meaning bulging is a measure of the “peakedness” of the probability distribution of a real-valued random variable. Higher kurtosis means more of the variance is due to infrequent extreme deviations, as opposed to frequent modestly-sized deviations.

The blue distribution exhibits higher kurtosis.

For more information, see all articles on: Quantitative Analysis

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