The DOI matches its Crossref record.
On the Distribution of Stock Price Differences
Abstract
Price changes over a fixed number of transactions may have a Gaussian distribution. Price changes over a fixed time period may follow a stable Paretian distribution, whose variance is infinite. Since the number of transactions in any time period is random, the above statements are not necessarily in disagreement. A possible explanation is proposed by Taylob, and then shown by Mandelbrot to be intimately related to an earlier discussion of the specialists' function of ensuring the continuity of the market.
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Citations
Cited by
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Clark, P. K. (1973) · Econometrica · doi:10.2307/1913889 · Cited by 2,779
An Engine, Not a Camera: How Financial Models Shape Markets
MacKenzie, D. (2006) · doi:10.7551/mitpress/9780262134606.001.0001 · Cited by 1,766
A geographical model for the daily and weekly seasonal volatility in the foreign exchange market
Dacorogna, M. M., Müller, U. A., Nagler, R. J., Olsen, R. B., & Pictet, O. V. (1993) · Journal of International Money and Finance · doi:10.1016/0261-5606(93)90004-u · Cited by 608
Exchange rate prediction using hybrid neural networks and trading indicators
Ni, H., & Yin, H. (2009) · Neurocomputing · doi:10.1016/j.neucom.2008.09.023 · Cited by 94
Metadata
- Authors
- Mandelbrot, B., & Taylor, H. M.
- Venue
- Operations Research
- Published
- 1967-12
- Volume
- 15
- Issue
- 6
- Pages
- 1057-1062
- ISSN
- 0030-364X (ISSN-L)
- 1526-5463
- OpenAlex
- W2100862493
- Cited by
- 529
- References
- 0
- FWCI
- 12.90
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: On the Distribution of Stock Price Differences. https://app.cochat.ai/papers/10.1287/opre.15.6.1057
- The paper
- Mandelbrot, B., & Taylor, H. M. (1967). On the Distribution of Stock Price Differences. Operations Research. https://doi.org/10.1287/opre.15.6.1057
Data sources
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.
