Journal of the American Statistical Association · 1976 · 1.1K citations · 20 references
BusinessComputer ScienceStatistical ComputingStochastic ModelingStochastic ProcessesComputational StatisticsMonte Carlo MethodsMonte Carlo SimulationRandom VariablesSimulation MethodsStochastic StabilityMonte Carlo AnalysisNonlinear Probability TransformationStochastic Simulation
Abstract A new algorithm is presented for simulating stable random variables on a digital computer for arbitrary characteristic exponent α(0 < α ≤ 2) and skewness parameter β(-1 ≤ β ≤ 1). The algorithm involves a nonlinear transformation of two independent uniform random variables into one stable random variable. This stable random variable is a continuous function of each of the uniform random variables, and of α and a modified skewness parameter β' throughout their respective permissible ranges.
20
The Behavior of Stock-Market Prices
Eugene F. Fama · The Journal of Business · 1965 · 8.7K citations
An Introduction to Probability Theory.
Bert Fristedt, P. A. P. Moran · Journal of the American Statistical Association · 1986 · 3.4K citations
The Random Character of Stock Market Prices
Richard N. Rosett, Paul H. Cootner · Econometrica · 1968 · 934 citations