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Black swans or dragon kings? A simple test for deviations from the power law
test deviations power law great natural disasters financial crashes electricity price spikes
2011/3/23
We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great ...
Double Power Law Decay of the Persistence in Financial Markets
Statistical Finance Data Analysis Statistics Probability Physics Society
2010/12/16
The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is...