tailieunhanh - the behavior of stock market prices eugene f fama the journal phần 3

là cố gắng để đi kiểm tra thường là trong giả thuyết của Mandelbrot hướng đối với trường hợp dự đoán của các giả thuyết Mandelbrot. giá cổ phiếuNgoại trừ phần kết luận, phần còn lại của bài báo này sẽ được quan tâm với báo cáo kết quả các thử nghiệm mở rộng của mô hình đi bộ ngẫu nhiên của các hành vi giá cổ phiếu. | . American Tel. a Tel. Fig. 4. Normal probability graphs for American Telephone and Telegraph for different time periods. Horizontal axes of graphs show W values of the daily changes in log price vertical axes show fractiles of the . 60 THE JOURNAL OF BUSINESS lence and periods of calm without resorting to non-stationarity arguments. F. CONCLUSION The main result of this section is that the departures from normality in the distributions of the first differences of the logarithms of stock prices are in the direction predicted by the Mandelbrot hypothesis. Moreover the two more complicated versions of the Gaussian model that were examined are incapable of explaining the departures. In the next section further tests will be used to decide whether the departures from normality are sufficient to warrant rejection of the Gaussian hypothesis. IV. A Closer Look at the Empirical Distributions The first step in this section will be to test whether the distributions of price changes have the crucial property of stability. If stability seems to hold the problem will have been reduced to deciding whether the characteristic exponent a of the underlying stable Paretian process is less than 2 as assumed by the Mandelbrot hypothesis or equal to 2 as assumed by the Gaussian hypothesis. A. STABILITY By definition stable Paretian distributions are stable or invariant under addition. That is except for origin and scale sums of independent identically distributed stable Paretian variables have the same distribution as the individual summands. Hence if successive daily changes in stock prices follow a stable Paretian distribution changes across longer intervals such as a week or a month will follow stable Paretian distributions of exactly the same Most simply this means 25 Weekly and monthly changes in log price are of course just sums of daily changes. that the characteristic exponent a of the weekly and monthly distributions will be the same as the characteristic .