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Poisson distribution formula

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    Cool Poisson distribution formula

    Hello,

    I am doing a study on black swan events. Which is events that are deviate normal expected behavior and is hard to predict, and in my case I will use Excel to generate a price index that has a black swan event. Meaning a crash or "boom" of 20-25% in one day.

    When generating the magnitude of the boom or crash, I've used "RANDBETWEEN(20%,25%)".

    However when calculating the probability of the jump I have to use a poisson distribution like POISSON.DIST(x,mean,cumulative).

    The black swans I want to mimic are specifically of S&P 500. So I look at the number of times we had returns that are bigger than 5 standard deviations.

    So would I then put "x= the number of days I have data on" and "mean = the number of days that are bigger than 5 standard deviations"?

    Or something else?

    Kind Regards,

    Peter
    Last edited by Peter Niklas; 10-20-2018 at 08:16 AM.

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