Related papers: On Rational Bubbles and Fat Tails
We introduce and discuss spatially homogeneous Maxwell-type models of the nonlinear Boltzmann equation undergoing binary collisions with a random component. The random contribution to collisions is such that the usual collisional invariants…
We solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…
The higher-end tail of the wealth distribution in India is studied using recently published lists of the wealth of richest Indians between the years 2002-4. The resulting rank distribution seems to imply a power-law tail for the wealth…
The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the…
We study the empirical version of halfspace depths with the objective of establishing a connection between the rates of convergence and the tail behaviour of the corresponding underlying distributions. The intricate interplay between the…
Power laws and distributions with heavy tails are common features of many experimentally studied complex systems, like the distribution of the sizes of earthquakes and solar flares, or the duration of neuronal avalanches in the brain.…
We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are…
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes…
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions.…
Animal behavior is shaped by a myriad of mechanisms acting on a wide range of scales, which hampers quantitative reasoning and the identification of general principles. Here, we combine data analysis and theory to investigate the…
Statistical description of stochastic dynamics in highly unstable potentials is strongly affected by properties of divergent trajectories, that quickly leave meta-stable regions of the potential landscape and never return. Using ideas from…
We prove the emergence of stable fluctuations for reaction-diffusion in random environment with Weibull tails. This completes our work around the quenched to annealed transition phenomenon in this context of reaction diffusion. In [9], we…
We extend Goldie's (1991) Implicit Renewal Theorem to enable the analysis of recursions on weighted branching trees. We illustrate the developed method by deriving the power tail asymptotics of the distributions of the solutions R to: R =_D…
We show that the well-known Langevin equation, modeling the Brownian motion and leading to a Gaussian stationary distribution of the corresponding Fokker-Planck equation, is changed by the smallest multiplicative noise. This leads to a…
It is shown phenomenologically that the fractional derivative $\xi=D^\alpha u$ of order $\alpha$ of a multifractal function has a power-law tail $\propto |\xi| ^{-p_\star}$ in its cumulative probability, for a suitable range of $\alpha$'s.…
In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten [12] and Goldie [8] all discount factors in the model are mutually independent. We prove that the tails of the…
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and…
Recent Chandra and XMM-Newton observations of galaxy cluster cooling flows have revealed X-ray emission voids of up to 30 kpc in size that have been identified with buoyant, magnetized bubbles. Motivated by these observations, we have…
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We detail the derivation of the moments of the return…
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…