Related papers: Statistical Outliers and Dragon-Kings as Bose-Cond…
We develop the concept of ``dragon-kings'' corresponding to meaningful outliers, which are found to coexist with power laws in the distributions of event sizes under a broad range of conditions in a large variety of systems. These…
We provide theoretical and experimental evidence of statistical outliers in random laser emission that are not accounted for by the, now established, power-law tailed (L\'evy) distribution. Such outliers manifest themselves as single, large…
We ask the question whether it is possible to diagnose the existence of "Dragon-Kings" (DK), namely anomalous observations compared to a power law background distribution of event sizes. We present two new statistical tests, the U-test and…
We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs…
Extreme events have an important role which is sometime catastrophic in a variety of natural phenomena including climate, earthquakes and turbulence, as well as in man-made environments like financial markets. Statistical analysis and…
We define outliers as a set of observations which contradicts the proposed mathematical (statistical) model and we discuss the frequently observed types of the outliers. Further we explore what changes in the model have to be made in order…
Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ($>$ two) order correlations, they offer a better measure…
The spontaneous emergence of scale invariance, called self-organized criticality (SOC), is often attributed to a second-order absorbing-state phase transition (ASPT). Many real-world systems display SOC, yet extreme events are often…
Drawdowns are essential aspects of risk assessment in investment management. They offer a more natural measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) distributions of returns.…
In many complex systems, large events are believed to follow power-law, scale-free probability distributions, so that the extreme, catastrophic events are unpredictable. Here, we study coupled chaotic oscillators that display extreme…
We show that outliers occur almost surely in computable dynamics over infinite sequences. Ever greater outliers can be found as the number of visited states increases. We show the Independence Postulate explains how outliers are found in…
Many natural and socio-economic systems are characterized by power-law distributions that make the occurrence of extreme events not negligible. Such events are sometimes referred to as Black Swans, but a quantitative definition of a Black…
In classical physics the joint probability of a number of individually rare independent events is given by the Poisson distribution. It describes, for example, unidirectional transfer of population between the densely and sparsely populated…
In this second part of our survey on the social and natural distributions, we investigate some models, which intend to explain the statistical regularity of the natural and social distributions. There is a large variety of models and in…
Power-law distributions are typical macroscopic features occurring in almost all complex systems observable in nature. As a result, researchers in quantitative analyses must often generate random synthetic variates obeying power-law…
We consider a system composed of a fixed number of particles with total energy smaller or equal to some prescribed value. The particles are non-interacting, indistinguishable and distributed over fixed number of energy levels. The energy…
We consider an ergodic process on finitely many states, with positive entropy. Our first main result asserts that the distribution function of the normalized waiting time for the first visit to a small (i.e., over a long block) cylinder set…
Many complex systems are characterized by non-Boltzmann distribution functions of their statistical variables. If one wants to -- justified or not -- hold on to the maximum entropy principle for complex statistical systems (non-Boltzmann)…
Zipf's power-law distribution is a generic empirical statistical regularity found in many complex systems. However, rather than universality with a single power-law exponent (equal to 1 for Zipf's law), there are many reported deviations…
Extreme value statistics, or extreme statistics for short, refers to the statistics that characterizes rare events of either unusually high or low intensity: climate disasters like floods following extremely intense rains are among the…