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Stable distributions, futures prices, and the measurement of trading performance: A comment

✍ Scribed by John Doukas; Abdul Rahman

Publisher
John Wiley and Sons
Year
1986
Tongue
English
Weight
111 KB
Volume
6
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

For a given commodity of currency, CTC formed a time series of price changes, Pk = In(Ck I Ck-J, k = 1, 2, . , n, where C, is the daily closing price.

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