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Stable distributions, futures prices, and the measurement of trading performance

https://doi.org/10.1002/fut.3990040407
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Safety‐adjusted performance evaluation
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On the Unique Determination of Stable Distribution Functions
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The variation of certain speculative prices
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On some expansions of stable distribution functions
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An introduction to probability theory and its applications
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Harmonic Analysis and the Theory of Probability
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Some Properties of Symmetric Stable Distributions
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Parameter Estimates for Symmetric Stable Distributions
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Estimation in Univariate and Multivariate Stable Distributions
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Stable Distributions in Statistical Inference: 1. Symmetric Stable Distributions Compared to Other Symmetric Long-Tailed Distributions
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Estimation of Stable Law Parameters: Stock Price Behavior Application
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Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns
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Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums
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The Variation of Certain Speculative Prices
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Mandelbrot and the Stable Paretian Hypothesis
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The Behavior of Stock-Market Prices
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The Estimation of the Parameters of the Stable Laws
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Simple Rules for Optimal Portfolio Selection In Stable Paretian Markets
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On the Unimodality of Geometric Stable Laws
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Choosing Investment Portfolios When the Returns Have Stable Distributions
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On Strongly Unimodal Infinitely Divisible Distributions
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Portfolio Analysis in a Stable Paretian Market
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A Simplified Model for Portfolio Analysis
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Brownian Motion in the Stock Market
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A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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Comments on: "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," by Peter K. Clark
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Limit Distributions for Sums of Independent Random Variables.
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An Introduction to Probability Theory and Its Applications.
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Efficient Portfolio Selection for Pareto-Levy Investments
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Limit Distributions for Sums of Independent Random Variables.
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Harmonic Analysis and the Theory of Probability
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Tables and graphs of the stable probability density functions

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Assessing Central Counterparty Margin Coverage on Futures Contracts Using GARCH Models
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Modeling nonlinear dynamics of daily futures price changes
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Fat Tails in Finance
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Stable distributions, futures prices, and the measurement of trading performance: A comment
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Commodity futures risk premium and unstable systematic risk
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Commodity pool operators and their pools: Expenses and profitability
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The hedging effectiveness of options and futures: A mean‐gini approach
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The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes
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The distribution of gold futures spreads
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“Chaos” in futures markets? A nonlinear dynamical analysis
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Rolling over futures contracts: A note
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Constructing accurate cash settlement indices: The role of index specifications
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Futures prices are not stable‐paretian distributed
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Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?
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The distribution of standardized futures price changes
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An empirical examination of interest‐rate futures prices
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The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions
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MANDELBROT’S ECONOMICS AFTER A QUARTER CENTURY
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Notes
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Re-engineering scientific credit in the era of the globalized information economy
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