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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 ...
Punctuated Equilibrium and Power Law in Economic Dynamics
Punctuated Equilibrium Power Law Economic Dynamics
2011/1/4
An interesting toy model has recently been proposed on Schumpeterian economic dynamics by Thurner {\it et al.} following the idea of economist Joseph Schumpeter. Punctuated equilibrium dynamics is sho...
The Anderson-Darling test of fit for the power law distribution from left censored samples
Power law distribution Complexity Goodness-of-fit
2010/10/20
Maximum likelihood estimation and a test of fit based on the Anderson-Darling statistic is presented for the case of the power law distribution when the parameters are estimated from a left-censored ...
Fitting the Log Periodic Power Law to financial crashes: a critical analysis
Log Periodic Power Law financial crashes critical analysis
2010/10/18
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain rang...
Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
Point Processes Modeling Time Series Exhibiting Power-Law Statistics
2010/10/18
We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activi...
Universal Correlations and Power-Law Tails in Financial Covariance Matrices
Universal Correlations Power-Law Tails Financial Covariance Matrices
2010/11/1
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is dev...
We investigate the problem of wealth distribution from the viewpoint of asset exchange. Robust nature of Pareto’s law across economies, ideologies and nations suggests that this could be an outcome of...
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...