Number & MeasureGreek → English
Kurtosis
/kɜːrˈtoʊsɪs/noun
A measure of how much of a distribution's variance comes from rare extreme values.
The Greek roots
κύρτωσις
kúrtōsis
a bulging, curvature
κυρτός
kurtós
curved, humped
Literally: “a bulging”
The story of the word
Karl Pearson took the word in 1905 and coined its three companions in the same stretch of work, leptokurtic, platykurtic and mesokurtic, thin-humped, broad-humped and middle-humped. The textbook gloss, peakedness, is misleading and has been argued against for decades: kurtosis is driven by the tails, not the peak. In finance that distinction is the whole point, since high kurtosis means the disaster is rarer than normal and much worse when it comes.
- How it travelled
- Ancient Greek → scientific coinage → English
- First recorded
- 1905
Same family
leptokurticplatykurtic
In a sentence
Daily returns show heavy kurtosis, which is a polite way of saying the model will be wrong on the worst day.