From the course: Modeling Market Prices Using Stochastic Processes with Wolfram Language
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Hyperbolic distribution - Wolfram Language Tutorial
From the course: Modeling Market Prices Using Stochastic Processes with Wolfram Language
Hyperbolic distribution
Well, we have a very general distribution called the hyperbolic distribution. Okay. And as you can see here, it has four parameters: A location parameter, a scale parameter, the shape, and the degree of skewness. Things like shape and skewness are fixed for a normal distribution, but if you allow them to vary, then you get a wider range of distributional aspects. Now we know a lot about this. We know a lot about all of these things because they are defined exactly inside Mathematica. This is quite different because we're both a symbolic as well as a numeric program. Then we can write in the actual mathematical formulas for this. This is quite distinct from numeric programs like R and MATLAB, and the rest. What they use instead is some type of Maclaurin approximation to the, around the mean. And this is not very accurate. After you go out, you know, away from central values, the errors are going to get quite large. But we can calculate this precisely to any degree of accuracy. And in…
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