The variation of certain speculative prices
Large price changes are much more frequent than predicted by the Gaussian; this reflects the “excessively peaked” (“leptokurtic”) character of price relatives, which has been well-established since at least 1915.
Large practically instantaneous price changes occur often, contrary to prediction, and it seems that they must be explained by causal rather than stochastic models.
Successive price changes do not “look” independent, but rather exhibit a large number of recognizable patterns, which are, of course, the basis of the technical analysis of stocks.
Price records do not look stationary, and statistical expressions such as the sample variance take very different values at different times; this nonstationarity seems to put a precise statistical model of price change out of the question.
KeywordsPrice Change Daily Change Gaussian Case Price Quotation Independent Gaussian Random Variable
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