Comment on P. K. Clark's Distribution of Lognormal-Normal Increments and the Lognormal Cascade Distribution

4 Pages Posted: 18 Jan 2010

See all articles by Stephen H.T. Lihn

Stephen H.T. Lihn

Novus Partners, Inc.; Atom Investors LP

Date Written: January 16, 2010

Abstract

To illustrate that the mathematical form of P. K. Clark's distribution of lognormal-normal increments, with a minor bug fix, is the same as the symmetric lognormal cascade distribution that I studied in 2008-9, although the two were derived from very different stochastic assumptions.

Keywords: P.K. Clark, subordinated process, lognormal cascade distribution

JEL Classification: C22, D30, E32, E37

Suggested Citation

Lihn, Stephen H.T. and Lihn, Stephen H.T., Comment on P. K. Clark's Distribution of Lognormal-Normal Increments and the Lognormal Cascade Distribution (January 16, 2010). Available at SSRN: https://ssrn.com/abstract=1537686 or http://dx.doi.org/10.2139/ssrn.1537686

Stephen H.T. Lihn (Contact Author)

Atom Investors LP ( email )

3711 S Mopac Expressway
Austin, TX 78746
United States
917-603-4133 (Phone)

Novus Partners, Inc. ( email )

521 5th Ave
29th Floor
New York, NY 10175
United States
917-603-4133 (Phone)

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
81
Abstract Views
1,054
Rank
552,467
PlumX Metrics