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Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets
Statistical outliers Dragon-kings Physics and society Complex systems Bose-Einstein condensation Zipf law Power law
2012/6/5
A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings", have been reported in the ...
Do firms share the same functional form of their growth rate distribution? A new statistical test
growth rate distribution of single rm heterogeneous rms EDF tests
2011/3/31
We introduce a new statistical test of the hypothesis that a balanced panel of firms have the same growth rate distribution or, more generally, that they share the same functional form of growth rate ...
Statistical Properties of Cross-Correlation in the Korean Stock Market
correlation matrix random matrix theory markowitz portfolio theory
2010/10/22
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the po...
Statistical causes for the Epps effect in microstructure noise
Statistical Epps effect microstructure noise
2010/10/21
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a...
Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game
Statistical Multifractal Properties Time Series
2010/10/21
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the ab...
Statistical mechanics of money, debt, and energy consumption
Statistical mechanics debt energy consumption
2010/10/21
We briefly review statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as ran...
Statistical Regularities of Equity Market Activity
Statistical Regularities Equity Market Activity
2010/11/3
Equity activity is an essential topic for financial market studies. To explore its statistical reg-ularities, we comprehensively examine the trading value, a measure of the equity activity, of the 331...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...
Statistical Matching for Longitudinal Data of Rural Households in China:Construction of MHTS Panel D
attrition panel data statistical matching rural household
2008/1/17
Abstract:
This paper has examined the results of data matching of RCFPO (Rural China Fixed Point Observations) and the structures and characteristics of a new panel database termed MHTS (Minor sets o...