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Dec 1

Generate random numbers of stable distribution

Posted by abiao at 22:22 | Code » Matlab | Comments(0) | Reads(9326)
A deluging section of the research in financial markets is established on the presumption that financial markets are forced by a gaussian process. This presumption has been largely debated, and it has often been demonstrated than it's untrue for equity, forex, and commodities markets. Stable distributions have been advised as a better model instead.

Nevertheless, stable distributions are not applied much in the industry  due to a lack of proper interpreting and usable software package. The lack of analytical formulas for the probability density and cumulative distribution functions is also a reason.

For codes and research results of stable distribution click http://dimacs.rutgers.edu/~graham/code.html

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