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The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses

Published online by Cambridge University Press:  06 April 2009

Abstract

Two alternate hypotheses, the stable Paretian and mixture of normals, have been proposed to explain the observed thick-tailed distributions of futures price movements. The two hypotheses are tested by applying the stability-under-addition test of stable distribution parameters to twenty lengthy time series of changes in daily closing futures prices. Tests are conducted on both the original data series and randomized data. The results offer support for the mixture of normals hypothesis.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1989

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