j)!
Use A-5 to express each bracket in A-3, and we ultimately find approximately
P(k) & (nr-nv/T)*(1/k!) exp(—nany/T) A-6
an approximation good if k, nr, ny, are smaller than 1/7. Equation A-6 is just
th
e Poisson approximation to the hypergeometric distribution we have used.
(Ref. 8, p. 162)
fy[2][3]
[4]
REFERENCES
Edwards, R. D. and Magee, J. Technical Analysis of Stock Trends. Stock Trend Service,Springfield, Mass. 4th Ed. (1957).
King, Benjamin F. Jr., The Latent Statistical Structure of Security Price Changes,Unpublished thesis, U. Chicago Grad. School of Bus. Admin. (1964).
Mandelbrot, B., The Variation of Certain Speculative Prices, Journal of Business 36,394-419 (1963). This paper is also in the collection edited by Cootner, under reference 4.Moore, Arnold, Some Characteristics of Changes in Common Stock Prices. Article in“The Random Character of Stock Market Prices,” ed. Paul Cootner, M.I.T. Press,Cambridge, Mass. (1964).
Osborne, M. F. M., Brownian Motion in the Stock Market, Operation Research 7, 145(1959).
Osborne, M. F. M., Periodic Structure in the Brownian Motion of Stock Prices, OperationResearch 10, 345-79 (1962).
Osborne, M. F. M., “The Dynamics of Stock Trading,” Econometrica 33, 88 (1965).Feller, W., An Introduction to Probability Theory and its Applications, p. 42 (1957),John Wiley & Sons, N. Y.<|end|>