  A classic problem in physics is the origin of fat tailed distributions
generated by complex systems. We study the distributions of stock returns
measured over different time lags $\tau.$ We find that destroying all
correlations without changing the $\tau = 1$ d distribution, by shuffling the
order of the daily returns, causes the fat tails almost to vanish for $\tau>1$
d. We argue that the fat tails are caused by known long-range volatility
correlations. Indeed, destroying only sign correlations, by shuffling the order
of only the signs (but not the absolute values) of the daily returns, allows
the fat tails to persist for $\tau >1$ d.
