원문정보
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초록
영어
We suggest that stable distribution is related to the phenomena of intermediate term momentum and long term reversal. Although assumption of normal distribution seems to be reasonable due to central limit theorem, there are several papers about non-normality of financial data. Nevertheless, normal distribution is still the most popular distribution, which can lead overuse of normal distribution and misunderstanding the nature of financial data. Or frequent occurrence of extreme events can make momentum.
목차
ABSTRACT
1. Introduction
2. Stable distribution
3. Application
3.1 Sample mean under stable distribution
3.2. Two-components and stable distribution
3.3. Discussion
4. Conclusion
5 Appendix: Proofs
References
1. Introduction
2. Stable distribution
3. Application
3.1 Sample mean under stable distribution
3.2. Two-components and stable distribution
3.3. Discussion
4. Conclusion
5 Appendix: Proofs
References
저자정보
참고문헌
자료제공 : 네이버학술정보