Black swans or dragon-kings? A simple test for deviations from the power law

被引：23
|
作者：
Janczura, J. [2 ]
Weron, R. [1 ]
机构：
[1] Wroclaw Univ Technol, Inst Org & Management, PL-50370 Wroclaw, Poland
[2] Wroclaw Univ Technol, Hugo Steinhaus Ctr Stochast Methods, PL-50370 Wroclaw, Poland
来源：
EUROPEAN PHYSICAL JOURNAL-SPECIAL TOPICS | 2012年 / 205卷 / 01期
基金：
澳大利亚研究理事会;
关键词：
ELECTRICITY PRICES; SPOT;
D O I：
10.1140/epjst/e2012-01563-9
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We develop a simple test for deviations from power law tails. Actually, from the tails of any distribution. We use this test - which is based on the asymptotic properties of the empirical distribution function - to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon-kings or 'only' as black swans.
引用
收藏
页码：79 / 93
页数：15
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