tailieunhanh - the behavior of stock market prices eugene f fama the journal phần 6

một giả thuyết cực đoan và kiểm tra nó cho phù hợp. Tại thời điểm này chúng ta sẽ bỏ qua counterarguments quan trọng là liệu một thử nghiệm nghiêm ngặt của một giả thuyết cực đoan là sẽ có ý nghĩa, cho rằng đối với mục đích thực tế, giả thuyết có vẻ như là một xấp xỉ hợp lệ với thực tế để thống kê và nhà đầu tư. | BEHAVIOR OF STOCK-MARKET PRICES 99 behavior of more basic economic variables. Developing and testing such a model would contribute greatly toward establishing sound theoretical foundations in this area. Second if distributions of price changes are truly stable Paretian with characteristic exponent a 2 then it behooves US to develop further the statistical theory of stable Paretian distributions. In particular the theory would be much advanced by evidence concerning the sampling behavior of different estimators of the parameters of these distributions. Unfortunately rigorous analytical sampling theory will be difficult to develop as long as explicit expressions for the density functions of these distributions are not known. Using Monte Carlo techniques however it is possible to develop an approximate sampling theory even though explicit expressions for the density func tions remain unknown. In a study now under way the series-expansion approximation to stable Paretian density functions derived by Bergstrom 7 is being used to develop a stable Paretian random numbers generator. With such a random numbers generator it will be possible to examine the behavior of different estimators of the parameters of stable Paretian distributions in successive random samples and in this way to develop an approximate sampling theory. The same procedure can be used of course to develop sampling theory for many different types of statistical tools. In sum it has been demonstrated that first differences of stock prices seem to follow stable Paretian distributions with characteristic exponent a 2. An important step which remains to be taken is the development of a broad range of statistical tools for dealing with these distributions. REFERENCES 1. Alexander s. s. Price Movements in Speculative Markets Trends or Random Walks Industrial Management Review II May 1961 7-26. 2. -------. Price Movements in Speculative Markets Trends or Random Walks No. 2 in Paul H. Cootner ed. 9 pp. 338-72. 3.