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A Note on the Distribution of Stock Price Changes

Pages 282-284 | Published online: 05 Apr 2012

References

  • Fama , Eugene F. 1965 . “The Behavior of Stock-Market Prices,” . Journal of Business , 38 January : 34 – 105 .
  • Fama , Eugene F. and Roll , Richard . 1971 . “Parameter Estimates for Symmetric Stable Distributions,” . Journal of the American Statistical Association , 66 June : 331 – 8 .
  • Fama , Eugene F. and Roll , Richard . 1968 . “Some Properties of Symmetric Stable Distributions,” . Journal of the American Statistical Association , 63 September : 817 – 36 .
  • Feller , William . 1966 . An Introduction to Probability Theory and its Applications , Vol. II , New York : John Wiley and Sons, Inc. . Chapters 6 and 17
  • Gnedenko , B. V. and Kolmogorov , A. N. 1954 . Limit Distributions for Sums of Independent Random Variables , Edited by: Chung , K. L. Cambridge , Mass. : Addison-Wesley . Chapter 7
  • Mandelbrot , Benoit . 1963 . “The Variation of Certain Speculative Prices,” . Journal of Business , 36 October : 394 – 419 .
  • Press , James S. 1967 . “A Compound Events Model for Security Prices,” . Journal of Business , 40 July : 317 – 35 .

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