Stable distribution and its application in Chinese stock market

Stable software is used to make the empirical research for return rate in Shanghai and Shenzhen stock market in this paper. The results show that stock returns distribution has an obvious peak and fat tail fractal characteristics. The traditional normal distribution has been very difficult to descri...

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Bibliographic Details
Published in2012 8th International Conference on Natural Computation pp. 953 - 956
Main Authors Zhangyan Peng, Fengshan Si, Jing Wang, Yuling Wang
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.05.2012
Subjects
Educational institutions
Fractals
Gaussian distribution
Indexes
Investments
stable distribution
Stock markets
stock returns
thick tail
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Summary:Stable software is used to make the empirical research for return rate in Shanghai and Shenzhen stock market in this paper. The results show that stock returns distribution has an obvious peak and fat tail fractal characteristics. The traditional normal distribution has been very difficult to describe the phenomenon, but stable distribution is able to deal with this kind of problem.
ISBN:9781457721304
1457721309
ISSN:2157-9555
DOI:10.1109/ICNC.2012.6234687