Fat tails emerge from a Gaussian distribution when volatility itself is variable; by constructing a mixture of Gaussian distributions with different variance parameters, the resulting composite distribution exhibits heavier tails and higher shoulders than a single Gaussian.

factualpending

Speaker

Nassim Taleb

Evidence Quote

“now we do manipulate you can see that they coincide okay they don't concern no more right okay you got fat tails uh-huh higher shoulders okay”

Source

A conversation between Nassim Nicholas Taleb and Stephen Wolfram at the Wolfram Summer School 2021— Wolfram
Created: 8/11/2026, 1:49:43 AM

My Notes

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