Stats › Best and worst days › Fat tails
The Dow had 461 three sigma days where a bell curve says 79
The Dow figures cover 1900 to 2006. The international figures are averages per market across fifteen markets and 160,278 trading days. Source: Estrada, Journal of Investing, Fall 2008.
Most of finance assumes daily stock returns follow a bell curve. Between 1900 and 2006 the Dow moved more than three standard deviations on 461 days, where that curve predicts 79. Fifteen other markets give the same ratio, 163 against 29 expected.
Members only
The rest of this page is for members
Below this point there are 9 sections, 2 charts and 4 named sources, roughly 1250 words of it. Every figure carries the source it came from and the date the data is from.
You can keep browsing every statistic in the library for free. The intro and the summary are always open.