The variation of the prices of cotton, wheat, and railroad stocks, and of some financial rates

  • Benoit B. Mandelbrot


M 1963b{E14} argues that the description of price variation requires probability models less special than the widely used Brownian, because the price relatives of certain prices series have a variance so large that it may in practice be assumed infinite. This theme is developed further in the present chapter, which covers the following topics.


Price Change Financial Rate Price Variation Spot Price Price Series 
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Copyright information

© Springer Science+Business Media New York 1997

Authors and Affiliations

  • Benoit B. Mandelbrot
    • 1
  1. 1.Mathematics DepartmentYale UniversityNew HavenUSA

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