The variation of the prices of cotton, wheat, and railroad stocks, and of some financial rates

Benoit B. Mandelbrot
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Benoit B. Mandelbrot: Yale University, Mathematics Department

Chapter E15 in Fractals and Scaling in Finance, 1997, pp 419-443 from Springer

Abstract: Abstract M 1963b{E14} argues that the description of price variation requires probability models less special than the widely used Brownian, because the price relatives of certain prices series have a variance so large that it may in practice be assumed infinite. This theme is developed further in the present chapter, which covers the following topics.

Keywords: Price Change; Financial Rate; Price Variation; Spot Price; Price Series (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1007/978-1-4757-2763-0_15

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