Deeper look at fat tails - 15 year NSE - Nifty EDA in python
So the high priest of fat tailed events and Black Swans; The president of the Republic of Extremistan has started a YouTube channel on some of the common topics in probability and statistics which you should watch if you're interested in financial markets. These topics have a lot in common with machine learning so watch if you're a data scientist. His video on fat tailed events got me thinking about how large swings of 200 - 500 points or so in equity markets may or may not be fat tailed events. So I decided to explore this using the past 15 year data for the NSE Nifty. All source code for the below analysis is on Github . Data Download While you can get the data from the NSE Historical data section; obtaining the data is a pain since it limits search requests to a 365 day period. I discovered a python package NSEPy that allowed me to download historical data. you can get it from here . I downloaded data for the past 15 years from Jan 2005 to December 2020 in a CSV file...