Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns
研究了普通股票收益的稳定分布和正态混合分布模型，通过稳定性检验比较了不同组合与实际股票价格分布的拟合效果。
Abstract The form of the distribution underlying common stock returns has many implications for financial modeling. Among the frequently proposed models for stock return distributions is the family of stable distributions. Numerous studies of stock return distributions have also proposed various types of mixtures of normal distributions. This article examines the characteristics of several different combinations of mixtures of normal and stable distributions, and compares them with actual stock price distributions. The principal tests applied are based on the stability-under-addition property of stable distributions.