Why This Approach Is Different?
The better question might be: "Why does it matter?' or "Who Cares?" A good answer is found in a Press Release dated January 7, 2006. Since then we have had many interesting "rare" events.
The hedge fund Amaranth imploded costing San Diego taxpayers $45 million in pension investments. The founder of mathestate took exception to published reports that what happened was an extreme event.
Rencently, enlightened mathmaticians have created an interesting web site chronicling the implosion of hedge funds. Visit the Hedge Fund Implode-O-Meter for a sobering look at what ignoring these mathematics mean for investors and society.
A Fat Tail Primer in PDF can be downloaded here. For users of Mathematica a notebook that creates the graphic may be downloaded here.
For a brief 100-year history of the Fat Tail story, here is a short narration entitled Thanks, Louis, You Were Right!! 100 years of Heavy Tails - The Hypothesis That Won't Go Away commemorating the 100th anniversity of Louis Bachelier's PhD Thesis.
The book The Black Swan based on a long, hard look at rare events has made the NY Time bestseller list.
Art De Vany has written a journal article about the tail behavior of home runs in baseball that uses this software.
In mathestate Real Estate Tool #4 "Risk, Variation and Tail Behavior" you can find a series of pages that constitute a tutorial that goes from the elementary to the advanced.