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- W83900301 abstract "Financial asset returns are the cumulative outcome of a vast number of pieces of information and individual decisions arriving continuously in time. According to the Central Limit Theorem, if the sum of a large number of iid random variates has a limiting distribution after appropriate shifting and scaling, the limiting distribution must be a member of the stable class. It is therefore natural to assume that asset returns are at least approximately governed by a stable distribution if the accumulation is additive, or by a log-stable distribution if the accumulation is multiplicative. The Gaussian is the most familiar and tractable stable distribution, and therefore either it or the log-normal has routinely been postulated to govern asset returns. However, returns are often much more leptokurtic than is consistent with normality. This naturally leads one to consider also the non-Gaussian stable distributions as a model of financial returns." @default.
- W83900301 created "2016-06-24" @default.
- W83900301 creator A5007741183 @default.
- W83900301 date "1996-01-01" @default.
- W83900301 modified "2023-10-16" @default.
- W83900301 title "13 Financial applications of stable distributions" @default.
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- W83900301 doi "https://doi.org/10.1016/s0169-7161(96)14015-3" @default.
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