Abstract
It makes a lot of difference if the stochastic process that governs the time series of prices can be worked out in an analytical form or not.
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Notes
- 1.
In reality what follows applies in much more general hypotheses. The η must all have the same probability distribution, even a probability distribution more general than that we are talking about, one that does not necessarily imply that each value is equally likely.
- 2.
Very few stable distributions are known in closed form.
- 3.
Remember that these functions are available in any worksheet.
- 4.
The formula is exact only for a number of bins greater than 35, but the response, using a special table (Kanji 1993), would not be different.
References
Di Lorenzo R (2011) Cassandra non era un’idiota. Springer, Milano
Feller W (1968) An introduction to probability theory and its applications, vol 1 and 2. Wiley, New York
Kanji GK (1993) 100 Statistical tests. Sage, London
Pancini E (1965) Misureedapparecchi di fisica. Veschi, Roma
Von Mises R (1957) Probability, statistics and truth. Dover, New York
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Di Lorenzo, R. (2013). Normality. In: Trading Systems. Perspectives in Business Culture. Springer, Milano. https://doi.org/10.1007/978-88-470-2706-0_5
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DOI: https://doi.org/10.1007/978-88-470-2706-0_5
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