Thanks for those links. Yes, Stable Paretian distributions (alpha between 1 and 2?) have been used to statistically describe stock returns for a long time (Fama's paper is nearly 60 years old). My understanding is that Fama's statement, "The main conclusion will be that the data seem to present consistent and strong support for the [random walk] model." is still the case.
cheers
StillGoing
Statistics: Posted by StillGoing — Sun Aug 11, 2024 4:14 am