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Empirical distributions of stock returns: between the stretched exponential and the power law?

Citations

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Cited by:

  1. Lucas Fievet & Zal`an Forr`o & Peter Cauwels & Didier Sornette, 2014. "Forecasting future oil production in Norway and the UK: a general improved methodology," Papers 1407.3652, arXiv.org.
  2. Y. Malevergne & V. Pisarenko & D. Sornette, 2006. "The modified weibull distribution for asset returns: reply," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 451-451.
  3. Andrew T. Balthrop, 2021. "Gibrat’s law in the trucking industry," Empirical Economics, Springer, vol. 61(1), pages 339-354, July.
  4. Pisarenko, V. & Sornette, D., 2006. "New statistic for financial return distributions: Power-law or exponential?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 387-400.
  5. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
  6. Derksen, M. & Kleijn, B. & de Vilder, R., 2022. "Heavy tailed distributions in closing auctions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  7. Rui Vilela Mendes & M. J. Oliveira, 2006. "A data-reconstructed fractional volatility model," Papers math/0602013, arXiv.org, revised Jun 2007.
  8. Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
  9. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  10. Bertrand Groslambert & Wan-Ni Lai, 2020. "Ranking tail risk across international stock markets," Economics Bulletin, AccessEcon, vol. 40(2), pages 1756-1768.
  11. Pablo Su'arez-Garc'ia & David G'omez-Ullate, 2012. "Scaling, stability and distribution of the high-frequency returns of the IBEX35 index," Papers 1208.0317, arXiv.org.
  12. Gzyl, Henryk & ter Horst, Enrique & Molina, Germán, 2019. "A model-free, non-parametric method for density determination, with application to asset returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 210-221.
  13. Jevgeni Tarassov & Nicolas Houli'e, 2023. "Bitcoin: A life in crises," Papers 2304.09939, arXiv.org.
  14. Hernández-Ramírez, E. & del Castillo-Mussot, M. & Hernández-Casildo, J., 2021. "World per capita gross domestic product measured nominally and across countries with purchasing power parity: Stretched exponential or Boltzmann–Gibbs distribution?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 568(C).
  15. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "The stylized facts of prediction markets: Analysis of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 159-170.
  16. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
  17. De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  18. Nassim Dehouche, 2021. "Scale matters: The daily, weekly and monthly volatility and predictability of Bitcoin, Gold, and the S&P 500," Papers 2103.00395, arXiv.org.
  19. Ramit Sawhney & Shivam Agarwal & Vivek Mittal & Paolo Rosso & Vikram Nanda & Sudheer Chava, 2022. "Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models," Papers 2206.06320, arXiv.org.
  20. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
  21. Gu, Gao-Feng & Zhou, Wei-Xing, 2007. "Statistical properties of daily ensemble variables in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(2), pages 497-506.
  22. Saralees Nadarajah & Samuel Kotz, 2006. "The modified Weibull distribution for asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 449-449.
  23. Pablo Su'arez-Garc'ia & David G'omez-Ullate, 2013. "Multifractality and long memory of a financial index," Papers 1306.0490, arXiv.org.
  24. Makoto Nirei & Theodoros Stamatiou & Vladyslav Sushko, 2012. "Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios," BIS Working Papers 371, Bank for International Settlements.
  25. Sornette, Didier & Zhou, Wei-Xing, 2006. "Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 704-726.
  26. Ethan Ratliff-Crain & Colin M. Van Oort & James Bagrow & Matthew T. K. Koehler & Brian F. Tivnan, 2023. "Revisiting Stylized Facts for Modern Stock Markets," Papers 2311.07738, arXiv.org.
  27. Suárez-García, Pablo & Gómez-Ullate, David, 2014. "Multifractality and long memory of a financial index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 226-234.
  28. Saralees Nadarajah, 2012. "Models for stock returns," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 411-424, February.
  29. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "Statistical properties of volume and calendar effects in prediction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1150-1160.
  30. Suárez-García, Pablo & Gómez-Ullate, David, 2013. "Scaling, stability and distribution of the high-frequency returns of the Ibex35 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1409-1417.
  31. Andrew Balthrop, 2016. "Power laws in oil and natural gas production," Empirical Economics, Springer, vol. 51(4), pages 1521-1539, December.
  32. Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
  33. Ekaterina Morozova & Vladimir Panov, 2021. "Extreme Value Analysis for Mixture Models with Heavy-Tailed Impurity," Mathematics, MDPI, vol. 9(18), pages 1-24, September.
  34. Naumoski, Aleksandar & Gaber, Stevan & Gaber-Naumoska, Vasilka, 2017. "Empirical Distribution Of Stock Returns Of Southeast European Emerging Markets," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(2), pages 67-77.
  35. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
  36. Filimonov, Vladimir & Sornette, Didier, 2015. "Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns," Chaos, Solitons & Fractals, Elsevier, vol. 74(C), pages 27-45.
  37. Sosa-Correa, William O. & Ramos, Antônio M.T. & Vasconcelos, Giovani L., 2018. "Investigation of non-Gaussian effects in the Brazilian option market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 525-539.
  38. Sandro Claudio Lera & Didier Sornette, 2017. "GDP growth rates as confined L\'evy flights," Papers 1709.05594, arXiv.org.
  39. M. Derksen & B. Kleijn & R. de Vilder, 2020. "Heavy tailed distributions in closing auctions," Papers 2012.10145, arXiv.org.
  40. Fiévet, L. & Forró, Z. & Cauwels, P. & Sornette, D., 2015. "A general improved methodology to forecasting future oil production: Application to the UK and Norway," Energy, Elsevier, vol. 79(C), pages 288-297.
  41. Jan-Christian Gerlach & Jerome Kreuser & Didier Sornette, 2020. "Awareness of crash risk improves Kelly strategies in simulated financial time series," Papers 2004.09368, arXiv.org.
  42. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  43. Vladimir Filimonov & Didier Sornette, 2014. "Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns," Papers 1407.5037, arXiv.org, revised Apr 2015.
  44. Rakhee Dinubhai Patel & Frederic Paik Schoenberg, 2011. "A graphical test for local self-similarity in univariate data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(11), pages 2547-2562, January.
  45. Kim Ristolainen, 2022. "Narrative Triggers of Information Sensitivity," Discussion Papers 156, Aboa Centre for Economics.
  46. Karoline Bax & Ozge Sahin & Claudia Czado & Sandra Paterlini, 2021. "ESG, Risk, and (Tail) Dependence," Papers 2105.07248, arXiv.org, revised Nov 2021.
  47. Marc Ditzhaus & Daniel Gaigall, 2022. "Testing marginal homogeneity in Hilbert spaces with applications to stock market returns," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 749-770, September.
  48. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
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