Economics at your fingertips  

On the Distribution of Stock Price Differences

Benoît Mandelbrot and Howard M. Taylor
Additional contact information
Howard M. Taylor: Cornell University, Ithaca, New York

Operations Research, 1967, vol. 15, issue 6, 1057-1062

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.

Date: 1967
References: Add references at CitEc
Citations: View citations in EconPapers (44) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Matthew Walls ().

Page updated 2020-04-06
Handle: RePEc:inm:oropre:v:15:y:1967:i:6:p:1057-1062