DETAILS, FICTION AND PNL

You can also analyse the skewness and kurtosis of the period of time PnL by using 3rd and 4th times of $Y_t$ respectively. Presumably you might conclude that for 2 series with identical expectation and variance, you are going to want the 1 with optimistic skew or lessen kurtosis, but perhaps not depending on the self-assurance of the market look at