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

页码：79 / 93

页数：15

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