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Stable References and Links


The Mathematica Journal article on the original version of this program.

Mathematica Demonstration Project entries:

    Stable Density

    Stock Price Simulation

John Nolan is writing a book on stable distributions; there is a wealth of information on his web page, including the first chapter of his book which provides an excellent introduction to the topic.
Link to John Nolan's Mathlink program.  This program is compiled from Fortran and much faster than the all Mathematica software on this site.

Benoit Mandelbrot's work stimulated my interest in stable distributions in the mid 1980's, when I read The Fractal Geometry of Nature.  His new book, The (mis) Behavior of Markets is a non-technical introduction to the subject with respect to financial markets.  His book, Fractals and Scaling in Finance: Discontinuity, Concentration, Risk, contains reprints of his original papers and is a more technical approach to financial markets.

J. Huston McCulloch's page contains a collection of important papers and software, including the quantile fit algorithm.

The Hedge Funds Research Institute of the International University of Monaco has a set of web pages with some matlab software available, based on the same algorithm that is used in the Mathematica software.  (See Nolan's 1997 paper in the references section)

Free Mathematica software for stable distributions: Software Package.

A Few Books

Bouchaud, M. and Potters, Theory Financial Risk and Derivative Pricing. Cambridge. 2003.

Rachev, S. T. and S. Mittnik, Stable Paretian Models in Finance. New
York, NY: Wiley. 2000.

Rachev, S. T., Handbook of Heavy Tailed Distributions in Finance. Elsevier. 2003.

Samorodnitsky, G. and Taqqu, M., Stable Non-Gaussian Random Processes.
New York: Chapman and Hall. 1994.


© Copyright 2007 mathestate    Fri 14 Dec 2007