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The Variation of Certain Speculative Prices
Abstract
The purpose of this chapter is to present and test a new model of price behavior in speculative markets. The principal feature of this model is that starting from the Bachelier process as applied to InZ(t) instead of Z(t), the Gaussian distribution is replaced throughout by another family of probability laws to be referred to as stable Paretian. In a somewhat complex way, the Gaussian is a limiting case of this new family, so the new model proposed in this chapter is actually a generalization of the continuous random walk of Bachelier.
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Citations
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Errors, robustness, and the fourth quadrant
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The random mass Dirac model and long-range correlations on an integrated optical platform
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Jazbec, M., Pàsztor, B., Faltings, F., Antulov-Fantulin, N., & Kolm, P. N. (2021) · Royal Society Open Science · doi:10.1098/rsos.202321 · Cited by 3
Metadata
- Authors
- Mandelbrot, B.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 1963-01
- Volume
- 36
- Issue
- 4
- Pages
- 394
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W3125246470
- Cited by
- 4,747
- References
- 0
- FWCI
- 6.27
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
