New statistic for financial return distributions: Power-law or exponential?

Physica A: Statistical Mechanics and its Applications

Volumn 366, Issue , 2006, Pages 387-400

  Pisarenko, V ^a   Sornette, D ^b,c  

^a INSTITUTE OF EARTHQUAKE PREDICTION THEORY AND MATHEMATICAL GEOPHYSICS   (Russian Federation)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c INSTITUT NON LINÉAIRE DE NICE   (France)

Author keywords

Deviation from standard law; Distribution of financial returns; Exponential distribution; Non parametric statistics; Pareto law; Power law distribution

Indexed keywords

INDUSTRIAL ECONOMICS; LAWS AND LEGISLATION; NATURAL SCIENCES;

DEVIATION FROM STANDARD LAW; DISTRIBUTION OF FINANCIAL RETURNS; EXPONENTIAL DISTRIBUTION; NON-PARAMETRIC STATISTICS; PARETO LAW; POWER-LAW DISTRIBUTION;

STATISTICAL MECHANICS;

EID: 33646471950     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.10.015     Document Type: Article

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