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.

引用

页码：79 / 93

页数：14

共 45 条

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