Quintile estimation: one manages to do an estimation with 5 data points only. We can estimate the distribution by say knowing what are the values at 99% (and 1%) and 75% (so 25%)... 31/n
The moments have a correspondence with the Pareto parameters. Potential use? Manage risk (regulation, VCs), Portfolio management, etc. One of his R packages is public, he recommends we backtrack his data using it. These distributions change our thinking of volatility. 32/n
Traders ask Patrice uses of this for trading. Patrice is not a trader, says he can't say but won't be surprised it can be used. He advises institutional clients on the amount of capital needed to cover their positions. Raphaël makes an observation. 33/n
"When tails get fatter, they get the more symmetric". Raphaël wraps it up, reminding us to connect tomorrow at the same time for @DrCirillo's presentation. 34/34