The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

An introduction to probability theory and its applications

1958 • 31,109 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Statistical Methods for Research Workers

1945 • 11,140 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

The variation of certain speculative prices

1997 • 4,766 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Mandelbrot and the Stable Paretian Hypothesis

1963 • 832 citations

The Distribution of Share Price Changes

1972 • 543 citations

On the Distribution of Stock Price Differences

1967 • 515 citations

Parameter Estimates for Symmetric Stable Distributions

1971 • 515 citations

A Compound Events Model for Security Prices

1967 • 463 citations

Some Properties of Symmetric Stable Distributions

1968 • 407 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

THE DISTRIBUTION OF THE RATIO, IN A SINGLE NORMAL SAMPLE, OF RANGE TO STANDARD DEVIATION

1954 • 324 citations

The Distribution of Stock Returns

1972 • 292 citations

Predictability of Stock Market Prices.

1971 • 252 citations

Security Price Changes and Transaction Volumes: Theory and Evidence

1975 • 184 citations

Feller, F.: An Introduction to Probability Theory and its Applications, Vol. II, John Wiley & Sons, Inc., New York‐London‐Sydney, 1966. XVIII + 626 S., 3 Abb., 2 Tab., Preis $ 12,00

1969 • 170 citations

Compounding Probabilities from Independent Significance Tests

1942 • 112 citations

A Note on the Distribution of Stock Price Changes

1971 • 96 citations

SOME THEORETICAL PROPERTIES OF SHARE PRICE TIME SERIES*

1971 • 3 citations