SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stable distributions, futures prices, and the measurement of trading performance
11 references·15 citing·28 second hop
Stable distributions, futures prices, and the measurement of trading performance (1984)Stable distributions, futures prices, and…The variation of certain speculative prices (1997)The variation of certain spec…Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns (1983)Stable Distributions and the …Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis (1972)Statistical Methodology for N…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Portfolio Analysis in a Stable Paretian Market (1965)Portfolio Analysis in a Stabl…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Fractional Integration in Agricultural Futures Price Volatilities (2004)Fractional Integration in Agr…Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)Market Fluctuations I: Scalin…Re-engineering scientific credit in the era of the globalized information economy (2001)Re-engineering scientific cre…Setting futures margins: the extremes approach (1999)Setting futures margins: the …Modeling nonlinear dynamics of daily futures price changes (1999)Modeling nonlinear dynamics o…Searching for fractal structure in agricultural futures markets (1997)Searching for fractal structu…Do currency futures prices follow random walks? (1997)Do currency futures prices fo…The systematic risk of futures contracts (1996)The systematic risk of future…Daily futures price changes and non-linear dynamics (1994)Daily futures price changes a…Rolling over futures contracts: A note (1992)Rolling over futures contract…The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes (1990)The probability distribution …The hedging effectiveness of options and futures: A mean‐gini approach (1990)The hedging effectiveness of …Problems in the Paternity of Econometrics: Henry Ludwell Moore (1990)Problems in the Paternity of …From Mandelbrot to Chaos in Economic Theory (1990)From Mandelbrot to Chaos in E…The Sub-Gaussian Distribution of Currency Futures: Stable Paretian or Nonstationary? (1987)The Sub-Gaussian Distribution…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Risk, Return, and Equilibrium: Empirical Tests (1973)Hedging Pressure Effects in Futures Markets (2000)Momentum strategies in commodity futures markets (2007)Financialization in commodity markets: A passing trend or the new normal? (2015)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Fractals and Intrinsic Time - a Challenge to Econometricians (1995)Survival (1995)Some comments on Hurst exponent and the long memory processes on capital markets (2008)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Punctuated Equilibrium Theory: Explaining Stability and Change in Public Policymaking (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)RISK, RETURN AND EQUILIBRIUM: SOME CLARIFYING COMMENTS (1968)Multiperiod Consumption-Investment Decisions (1975)Portfolio selection and skewness: Evidence from international stock markets (1997)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 1965Portfolio Analysis in a Stable Paretian Market468 cited
  • 1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis438 cited
  • 1983Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns92 cited

Cited by

  • 1990From Mandelbrot to Chaos in Economic Theory118 cited
  • 2002Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins114 cited
  • 1987The Sub-Gaussian Distribution of Currency Futures: Stable Paretian or Nonstationary?94 cited
  • 1997Searching for fractal structure in agricultural futures markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

86 cited
  • 1992Rolling over futures contracts: A note83 cited
  • 2004Fractional Integration in Agricultural Futures Price Volatilities70 cited
  • 1990The hedging effectiveness of options and futures: A mean‐gini approach67 cited
  • 1997Do currency futures prices follow random walks?32 cited
  • 1996The systematic risk of futures contracts32 cited
  • 1990Problems in the Paternity of Econometrics: Henry Ludwell Moore27 cited
  • 1994Daily futures price changes and non-linear dynamics27 cited
  • 1999Modeling nonlinear dynamics of daily futures price changes27 cited
  • 1990The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes26 cited
  • 1999Setting futures margins: the extremes approach23 cited
  • 2001Re-engineering scientific credit in the era of the globalized information economy18 cited