WU DOng, Tang Yincai. Stable Distribution and its Application in Finance[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(4): 434-445.
Citation: WU DOng, Tang Yincai. Stable Distribution and its Application in Finance[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(4): 434-445.

Stable Distribution and its Application in Finance

  • 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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