The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses
检验了两种解释期货价格变动厚尾分布的假设：稳定帕累托分布和正态混合分布，通过对20个长期日收盘价序列进行稳定性检验，结果支持正态混合假设。
Two alternate hypotheses, the stable Paretian and mixture of normals, have been proposed to explain the observed thick-tailed distributions of futures price movements. The two hypotheses are tested by applying the stability-under-addition test of stable distribution parameters to twenty lengthy time series of changes in daily closing futures prices. Tests are conducted on both the original data series and randomized data. The results offer sup? port for the mixture of normals hypothesis.