Related papers: Empirical Methods for Dynamic Power Law Distributi…
The Central Limit Theorem states that, in the limit of a large number of terms, an appropriately scaled sum of independent random variables yields another random variable whose probability distribution tends to a stable distribution. The…
A stochastic model with a continuum of economic agents often involves shocks at both macro and micro levels. This can be formalized by a continuum of random variables that are conditionally independent given the macro level shocks. Based on…
We study a few dynamical systems composed of many components whose sizes evolve according to multiplicative stochastic rules. We compare them with respect to the emergence of power laws in the size distribution of their components. We show…
Economic systems are similar with physic systems for their large number of individuals and the exist of equilibrium. In this paper, we present a model applying the equilibrium statistical model in economic systems. Consistent with…
In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of this statistical equilibrium for this…
This paper considers the problem of comparing two processes with panel data. A nonparametric test is proposed for detecting a monotone change in the link between the two process distributions. The test statistic is of CUSUM type, based on…
We study a generalised model of population growth in which the state variable is population growth rate instead of population size. Stochastic parametric perturbations, modelling phenotypic variability, lead to a Langevin system with two…
We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of…
The cornerstone of Boltzmann-Gibbs ($BG$) statistical mechanics is the Boltzmann-Gibbs-Jaynes-Shannon entropy $S_{BG} \equiv -k\int dx f(x)\ln f(x)$, where $k$ is a positive constant and $f(x)$ a probability density function. This theory…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
Many man-made and natural phenomena, including the intensity of earthquakes, population of cities and size of international wars, are believed to follow power-law distributions. The accurate identification of power-law patterns has…
Natural language data follows a power-law distribution, with most knowledge and skills appearing at very low frequency. While a common intuition suggests that reweighting or curating data towards a uniform distribution may help models…
We extend a generic class of systems which have previously been shown to spontaneously develop scaling (power law) distributions of their elementary degrees of freedom. While the previous systems were linear and exploded exponentially for…
Gradually Truncated Log-normal distribution - Size distribution of firms Abstract Many natural and economical phenomena are described through power law or log- normal distributions. In these cases, probability decreases very slowly with…
In this review, we present econometric and statistical methods for analyzing randomized experiments. For basic experiments we stress randomization-based inference as opposed to sampling-based inference. In randomization-based inference,…
In a meta-analysis, it is important to specify a model that adequately describes the effect-size distribution of the underlying population of studies. The conventional normal fixed-effect and normal random-effects models assume a normal…
The rate equation for exchange-driven aggregation of monomers between clusters of size $n$ by power-law exchange rate ($\sim{n}^\alpha$), where detaching and attaching processes were considered separately, is reduced to Fokker-Planck…
We show that the natural scaling of measurement for a particular problem defines the most likely probability distribution of observations taken from that measurement scale. Our approach extends the method of maximum entropy to use…
Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…
This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and…