The Variation of Certain Speculative Prices
1963/01/01 by Benoit Mandelbrot, Benoît B. Mandelbrot · 4,739 citations
Economics, Econometrics and Finance · #Business #Complex Systems and Time Series Analysis #Econometrics #Economic theories and models #Economics #Monetary economics #Physics #Variation (astronomy)
paper · doi:10.1086/294632
published in The Journal of Business 36(4), 394 (University of Chicago Press)
openalex publication_date 1963/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Abstract
The purpose of this chapter is to present and test a new model of price behavior in speculative markets. The principal feature of this model is that starting from the Bachelier process as applied to InZ(t) instead of Z(t), the Gaussian distribution is replaced throughout by another family of probability laws to be referred to as stable Paretian. In a somewhat complex way, the Gaussian is a limiting case of this new family, so the new model proposed in this chapter is actually a generalization of the continuous random walk of Bachelier.
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