n recent years there has been a growing awareness that futures prices and I other economic price series are not well described by normal probability distributions. Accordingly, a number of different investigators (Mandelbrot, 1963; Roll, 1968,1971;Dusak, 1973;Mann and Heifner, 1976, and others who have worked outside the futures price area) have considered the determination of parameters to fit one or another members of the family of stable distributions to an underlying economic price series. Here, we have used stable distributions to fit futures price series (including foreign exchange price series) from US.-regulated exchanges and have compared the results obtained against those obtained from fitting the same data series with normal distributions. In total, daily price series from 18 different futures markets were considered. These included 12 different metals, livestock, agricultural and world commodities (duplicate gold and silver contracts from different exchanges were reviewed), and four different currencies. They represent the most comprehensive selection of different futures contracts yet analyzed in this way. In contrast to previous measurements of this type, symmetry of the underlying price distributions was not an a priori assumption. The data series selected were all of long duration, having time periods ranging from three to nine years with each containing between 807 and 2291 data points.
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