Lévy Distribution

The Lévy distribution is a probability model used to describe processes where large, rare events happen more frequently than in normal distributions, such as sudden jumps or extreme outcomes. It’s characterized by heavy tails, meaning it assigns a higher likelihood to significant deviations from the average. This makes it useful in fields like finance for modeling unpredictable market swings, physics for describing particle movement, or natural phenomena with sudden bursts. Unlike normal distributions that cluster around the mean, the Lévy distribution emphasizes the importance of rare but impactful events, capturing the dynamics of complex, unpredictable systems.