Black swans or dragon kings? A simple test for deviations from the power law

2011/02/17 by Joanna Janczura, Rafal Weron · 2 citations
Economics, Econometrics and Finance · Physics and Astronomy · Mathematics · #q-fin.ST #physics.soc-ph #stat.AP

paper · pdf · doi:10.1140/epjst/e2012-01563-9

arxiv created 2011/02/17 · arxiv updated 2015/05/27

Abstract

We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon kings or 'only' as black swans.

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