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Quantitative Finance · Glossary

What is Stylised fact?

Definition 5.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 5 — Stylised Facts of Returns

A stylised fact is a statistical property of returns found, qualitatively, across many assets, markets and periods, stated without the precision that would make it specific to one of them.

Frequency of the US market’s daily excess returns in bins of half a standard deviation, July 1926 to July 2026, against the normal law with the same mean and standard deviation. The normal law gives the bins beyond five standard deviations a combined expected count of 0.015; the century has 103 such days. Data: Kenneth R. French data library (derived statistics).
Figure 5.1. Frequency of the US market’s daily excess returns in bins of half a standard deviation, July 1926 to July 2026, against the normal law with the same mean and standard deviation. The normal law gives the bins beyond five standard deviations a combined expected count of 0.015; the century has 103 such days. Data: Kenneth R. French data library (derived statistics).
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