FactorPad
Tutorials for Faster Learning

FINANCE

Glossary Quant 101

TECHNOLOGY

Linux Data Science

~/ home  / finance  / glossary  / kurtosis

Kurtosis definition

Statistical terms sound more scary than they need to and kurtosis is a perfect example. Just remember fourth power and three is normal.

Intermediate

Kurtosis is a measure of the weight in the tails of a distribution, often described as how peaked a distribution appears. A normal distribution has a kurtosis of 3, so many times kurtosis is reported as excess kurtosis, or the difference from 3. It is often called the fourth moment because it is generated from calculations to the fourth power.

Synonym: excess kurtosis


Other Original Content

Quiz

Click box for answer.

The kurtosis for stock returns tends to be less than 3. | True or False

False. Stock returns tend to have fatter tails and higher kurtosis

In a Sentence

Guy:  The kurtosis  for the distribution is 1.15, and I think it's fair to assume that that's excess.
Bud:  It's also fair to assume this whole discussion about kurtosis, to me, is excess.

Video

Many terms have 4-5 minute videos showing a derivation and explanation. If this term had one, it would appear here.

Videos can also be accessed from the YouTube Channel.

Video Script

If this term had a video, the script would be here.

Related Terms

Our trained humans found other terms in the category statistics for finance you may find helpful.


Learn More About The Glossary

For links to all glossary terms and videos click the Outline button below.


What's Next?

Make sure you subscribe so you don't miss new videos.

Up next is a discussion about  log return . Click Next.

Outline Back Next

~/ home  / finance  / glossary  / kurtosis



 
 
Keywords:
kurtosis
distribution
stock returns
peak
normal distribution
statistical measure
fourth moment
excess kurtosis
fourth power
risk measure
fat tails