CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2007, 23(4) 434-445 DOI:      ISSN: 1001-4268 CN: 31-1256

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WU DOng
Tang Yincai
PubMed
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Stable Distribution and its Application in Finance

WU DOng, Tang Yincai

The Science Institute of Anhui Agricultural University, Department of Statistics, East China Normal University

Abstract��

This paper introduces the some basic properties of Stable distributions. It is
found from histograms and stablized PP plots of some stock-index return data that theirs distributions have a high-Kurtosis and fat-tail characteristic. It is shown from empirical study that stable distributions show more efficiency than others distribution for the return series. Finally, an application is carried out showing the efficiency of stable distributions in risk valuation of finance.

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Received 1900-01-01 Revised 1900-01-01 Online:  
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