Related papers: Stochastic Tail Exponent For Asymmetric Power Laws

Taylors Law (TL) describes the scaling relationship between the mean and variance of populations as a power-law. TL is widely observed in ecological systems across space and time with exponents varying largely between 1 and 2. Many…

Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the disproportionate influence of extreme values. These…

For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…

Understanding the properties of response time distributions is a long-standing problem in cognitive science. We provide a tutorial overview of several contemporary models that assume power law scaling is a plausible description of the…

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…

We study the statistical properties of recurrence times in the self-excited Hawkes conditional Poisson process, the simplest extension of the Poisson process that takes into account how the past events influence the occurrence of future…

We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…

We estimate up to universal constants tails of symmetric and totally asymmetric 1-dimensional $\alpha$-stable distributions in terms of functions of the parameters of these distributions. In particular, for values of $\alpha$ close to $2$…

We studied the statistical distribution of student's performance, which is measured through their marks, in university entrance examination (Vestibular) of UNESP (Universidade Estadual Paulista) with respect to (i) period of study - day vs.…

Exponential tail bounds for sums play an important role in statistics, but the example of the $t$-statistic shows that the exponential tail decay may be lost when population parameters need to be estimated from the data. However, it turns…

At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…

To account quantitatively for many reported ``natural'' fat tail distributions in Nature and Economy, we propose the stretched exponential family as a complement to the often used power law distributions. It has many advantages, among which…

We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time series. In the presented approach different kinds of symmetric…

Models for extreme values are generally derived from limit results, which are meant to be good enough approximations when applied to finite samples. Depending on the speed of convergence of the process underlying the data, these…

Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…

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 studies stochastic mechanisms under which light-tailed latent price dynamics yield realized prices with power-law tails. The realized price is modeled as $P_T=e^{X_T}$, where $X$ is a Markov-modulated L\'evy process and $T$ is…

We construct a two-tailed peak-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time series. We demonstrate its applicability by investigating…

We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…

We provide large deviations estimates for the upper tail of the number of triangles in scale-free inhomogeneous random graphs where the degrees have power law tails with index $-\alpha, \alpha \in (1,2)$. We show that upper tail…