While reading on the subject of hard to forecast events I decided to investigate what the Signal Processing domain had to offer in terms of models that account for “fat-tail” distributions. Thankfully I came across a set of papers that specifically address the nature of such distributions in their modeling approach - which I think is insightful and worth having a look at despite being off-topic to quant work.

The set of papers was collectively published in a special edition journal under the theme “Signal processing with heavy-tailed distributions” and can be found here. I have uploaded the preface to the journal which gives a good overview of applications. You can download it from here.

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