相关论文: On Rational Bubbles and Fat Tails
Recently, increasing empirical evidence indicates the extensive existence of heavy tails in the interevent time distributions of various human behaviors. Based on the queuing theory, the Barab\'asi model and its variations suggest the…
An ion in a radiofrequency ion trap interacting with a buffer gas of ultracold neutral atoms is a driven dynamical system which has been found to develop a non-thermal energy distribution with a power law tail. The exact analytical form of…
We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the…
In nature or societies, the power-law is present ubiquitously, and then it is important to investigate the mathematical characteristics of power-laws in the recent era of big data. In this paper we prove the superposition of non-identical…
In the presence of a layer of metaprobabilities (from uncertainty concerning the parameters), the asymptotic tail exponent corresponds to the lowest possible tail exponent regardless of its probability. The problem explains "Black Swan"…
We study the problem of factor modelling vector- and tensor-valued time series in the presence of heavy tails in the data, which produce extreme observations with non-negligible probability. We propose to combine a two-step procedure for…
For taxonomic levels higher than species, the abundance distributions of number of subtaxa per taxon tend to approximate power laws, but often show strong deviationns from such a law. Previously, these deviations were attributed to…
The study of heavy-tailed distributions in economic and financial systems has been widely addressed since financial time series has become a research subject.After the eighties, several "highly improbable" market drops were observed (e.g.…
Identifying the generating mechanism of a network is challenging as, more often than not, only snapshots are available, but not the full evolution. One candidate for the generating mechanism is preferential attachment which, in its simplest…
Economic and financial time series can feature locally explosive behavior when a bubble is formed. The economic or financial bubble, especially its dynamics, is an intriguing topic that has been attracting longstanding attention. To…
Non-Hermitean operators may appear during the calculation of a partition function in various models of statistical mechanics. The tail eigen-states, having anomalously small real part of energy $Re(\eps)$, became naturally important in this…
We study rare events in the extreme value statistics of stochastic symmetric jump processes with power tails in the distributions of the jumps, using the big-jump principle. The principle states that in the presence of stochastic processes…
Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some…
We study the wealth distribution of UK households through a detailed analysis of data from wealth surveys and rich lists, and propose a non-linear Kesten process to model the dynamics of household wealth. The main features of our model are…
In order to account for large variance and fat tail of damage by natural disaster, we study a simple model by combining distributions of disaster and population/property with their spatial correlation. We assume fat-tailed or power-law…
In a range of citation networks, the in-degree distributions boast time-periodicity---the distributions of citations per article published each year present similar scale-free tails. This phenomenon can be regarded as a consequence of the…
We propose an approach to compute the conditional moments of fat-tailed phenomena that, only looking at data, could be mistakenly considered as having infinite mean. This type of problems manifests itself when a random variable Y has a…
In 1976, Gallagher showed that, conditional on the Hardy--Littlewood conjectures, the number of primes below $x$ in a randomly chosen short interval of length $\lambda \log x$ asymptotically follows a Poisson distribution with mean…
The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…
In this paper, we discuss the large--time behavior of solution of a simple kinetic model of Boltzmann--Maxwell type, such that the temperature is time decreasing and/or time increasing. We show that, under the combined effects of the…