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

被引：0
|
作者：
J. Janczura
R. Weron
机构：
[1] Wroclaw University of Technology,Hugo Steinhaus Center for Stochastic Methods
[2] Wroclaw University of Technology,Institute of Organization and Management
来源：
The European Physical Journal Special Topics | 2012年 / 205卷
关键词：
European Physical Journal Special Topic; Spot Price; Northridge Earthquake; Large Observation; Black Swan;
D O I：
暂无
中图分类号：
学科分类号：
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.
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收藏
页码：79 / 93
页数：14
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