On Tue, Apr 17, 2012 at 2:50 PM, Devon McCormick <devon...@gmail.com> wrote: > I guess you've figured out how to write the Levy distribution verb? > This is the crucial thing to get right - here's some graphs of it: > http://en.wikipedia.org/wiki/L%C3%A9vy_distribution . > > What is "levychar"? Do you have some examples of using these verbs?
levipdf was my implementation of the levy probability distribution function require'plot' plot 0 levypdf 1 (0.01 * 1+i.1000) levidist was my implementation of its integral plot 0 levydist 1 (0.01 * 1+i.1000) both of these are more or less verbatim from the wikipedia entry. levichar was the levi distribution "characteristic function". I did not study it enough for me to want to try to describe its relevance. On Tue, Apr 17, 2012 at 3:39 PM, KM Chakahwata <kmchakahw...@first-derivative.com> wrote: > surprised if this is indeed the case -- but somehow i doubt it. i suspect > you may have to go back to first principles and actually integrate the > expectation equation somehow, assuming the risk neutral arguments still > apply. That matches my expectations. I think we would also need to review the other concepts (e.g. fairness) to make sure that their implementation was coherent with the axioms that give us the levy distribution for transaction value. -- Raul ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
