%0 Journal Article %1 Mandelbrot1963 %A Mandelbrot, B. B. %D 1963 %J Journal of Business %K analysis markets stock technical trading %N 4 %P 394--419 %T The Variation of Certain Speculative Prices %V 36 %X The non-Gaussian character of the marginal distribution of returns is a well-known statement in the literature. Empirical study showing that practically all financial time series exhibit a high kurtosis.

@article{Mandelbrot1963, abstract = {The non-Gaussian character of the marginal distribution of returns is a well-known statement in the literature. Empirical study showing that practically all financial time series exhibit a high kurtosis.}, added-at = {2014-08-20T16:11:16.000+0200}, author = {Mandelbrot, B. B.}, biburl = {https://www.bibsonomy.org/bibtex/275e07129d56d3f2a07db3ade7063aaf5/krassi}, comment = {Mandelbrot first discovers fat tails for daily and monthly cotton price changes, and hypothesises a stable Pareto Levy distribution: The unconditional distribution or returns (for lags up to one month) is leptokurtic Suggests that log-returns follow a stable Pareto distribution, and not a Gaussian Claims that the second moment is not defined (the sample variance does not converge with the sample size)}, interhash = {c55ebd5c4fde536e660cacb398dd09c4}, intrahash = {75e07129d56d3f2a07db3ade7063aaf5}, journal = {Journal of Business}, keywords = {analysis markets stock technical trading}, number = 4, pages = {394--419}, timestamp = {2014-08-20T16:11:16.000+0200}, title = {The Variation of Certain Speculative Prices}, volume = 36, year = 1963 }