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Eine Illustration zur Verteilung spekulativer Preise / The Distribution of Speculative Prices: An Illustration

Heinz Zimmermann
Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics
Vol. 200, No. 4 (Juli 1985), pp. 420-427
Stable URL: http://www.jstor.org/stable/23806101
Page Count: 8
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Eine Illustration zur Verteilung spekulativer Preise / The Distribution of Speculative Prices: An Illustration
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Abstract

Es wird gezeigt, daß die beobachtete Leptokurtosis bei Verteilungen spekulativer Preise mit Hilfe eines sehr allgemeinen zusammengesetzten Poisson-Prozesses modelliert werden kann. Dies stellt eine einfache Illustration des Einflusses stochastischer Transaktionsintervalle auf die Verteilungseigenschaften von Preisen dar. It is shown that the widely documented leptokurtosis of speculative price distributions can be derived from a very general compound poisson process. This illustrates a simple way in modelling the impact of random transaction intervals on price distributions.

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