Mandelbrot 1963 cotton-price returns: heavy-tailed alpha-stable Levy distribution alpha~1.7; characteristic-function exp(-|t|^alpha); breaks Gaussian CLT for sums.
Mandelbrot 1963 cotton-price returns: heavy-tailed alpha-stable Levy distribution alpha~1.7; characteristic-function exp(-|t|^alpha); breaks Gaussian CLT for sums.