The Degree of Stability of Price Diffusion
Year of publication: |
2005-08-02
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Authors: | Los, Cornelis A. |
Institutions: | EconWPA |
Subject: | Stable distributions | price diffusion | stability exponent | Zolotarev parametrization | fractional Brownian motion | financial markets |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 40 40 pages |
Classification: | C23 - Models with Panel Data ; C53 - Forecasting and Other Model Applications ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G18 - Government Policy and Regulation |
Source: |
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The Degree of Stability of Price Diffusion
Los, Cornelis A., (2005)
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