Related papers: Heavy-tails in economic data: fundamental assumpti…

We study the tails of closing auction return distributions for a sample of liquid European stocks. We use the stochastic call auction model of Derksen et al. (2020a), to derive a relation between tail exponents of limit order placement…

I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward,…

For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals…

We propose a stochastic process driven by the memory effect with novel distributions which include both exponential and leptokurtic heavy-tailed distributions. A class of the distributions is analytically derived from the continuum limit of…

With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions…

Motivated by the study of the time evolution of random dynamical systems arising in a vast variety of domains --- ranging from physics to ecology ---, we establish conditions for the occurrence of a non-trivial asymptotic behaviour for…

Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To describe this stylized fact, we incorporate the cut-off effect…

Heavy-tailed or power-law distributions are becoming increasingly common in biological literature. A wide range of biological data has been fitted to distributions with heavy tails. Many of these studies use simple fitting methods to find…

Power-law probability distributions are widely used to model extreme statistical events in complex systems, with applications to a vast array of natural phenomena ranging from earthquakes to stock market crashes to pandemics. We show that…

The size that an epidemic can reach, measured in terms of the number of fatalities, is an extremely relevant quantity. It has been recently claimed [Cirillo & Taleb, Nature Physics 2020] that the size distribution of major epidemics in…

We analyze a 19-year time series of North American electric power transmission system blackouts. Contrary to previously reported results we find a fatter than exponential decay in the distribution of inter-occurrence times and evidence of…

Statistical distributions with heavy tails are ubiquitous in natural and social phenomena. Since the entries in heavy tail have disproportional significance, the knowledge of its exact shape is very important. Citations of scientific papers…

Extreme events are an important theme in various areas of science because of their typically devastating effects on society and their scientific complexities. The latter is particularly true if the underlying dynamics does not lead to…

Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…

A central question in economics is whether automation will displace human labor and diminish standards of living. Whilst prior works typically frame this question as a competition between human labor and machines, we frame it as a…

We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…

Over the last few decades power law distributions have been suggested as forming generative mechanisms in a variety of disparate fields, such as, astrophysics, criminology and database curation. However, fitting these heavy tailed…

This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of…

We propose a transformation capable of altering the tail properties of a distribution, motivated by extreme value theory, which can be used as a layer in a normalizing flow to approximate multivariate heavy tailed distributions. We apply…

Extreme environmental events such as severe storms, drought, heat waves, flash floods, and abrupt species collapse have become more prevalent in the earth-atmosphere dynamic system in recent years. In order to fully understand the…