Matches in SemOpenAlex for { <https://semopenalex.org/work/W104918084> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W104918084 abstract "Ample evidence exists documenting the fat-tailed character of returns in finan- cial markets (Rachev and Mittnik, 2000). Several papers attempt to model these fat tailed distributions as power laws of the form Pr(k) = k ( ) , where k is a positive integer measuring asset returns. Pr(k) is the probability of actually observing k, is the power law exponent, and ( ) is the Riemann zeta function defined as P1=1 k . The method most employed in determining the power law exponent is graphical analysis of the log of the ranked data followed by regression. In this paper, we point out the flaws of this method of discovering power laws, and argue for a more direct method of discovery using maximum likelihood estimation over a bounded field. After deriving our model, we test it on two high frequency time series: AMEX-OIL, and European-style exercise options on FSTES 100. Relative to the standard OLS power law fitting procedure, we find a much more accurate fit to the data us- ing the maximum likelihood method, estimating exponents of approximately 3 5, which we verify using Kolmogorov-Smirnov tests." @default.
- W104918084 created "2016-06-24" @default.
- W104918084 creator A5006388646 @default.
- W104918084 creator A5031728660 @default.
- W104918084 date "2009-01-01" @default.
- W104918084 modified "2023-09-24" @default.
- W104918084 title "MAXIMUM LIKELIHOOD ESTIMATION OF STABLE PARETIAN DISTRIBUTIONS APPLIED TO INDEX AND OPTION DATA" @default.
- W104918084 cites W1801733850 @default.
- W104918084 cites W1987099129 @default.
- W104918084 cites W1992612096 @default.
- W104918084 cites W1997722192 @default.
- W104918084 cites W2009623947 @default.
- W104918084 cites W2061991181 @default.
- W104918084 cites W2086921236 @default.
- W104918084 cites W2098754649 @default.
- W104918084 cites W2101266017 @default.
- W104918084 cites W2102701459 @default.
- W104918084 cites W2103842058 @default.
- W104918084 cites W2117180217 @default.
- W104918084 cites W2118746157 @default.
- W104918084 cites W2122528211 @default.
- W104918084 cites W2144242878 @default.
- W104918084 cites W2154555821 @default.
- W104918084 cites W2494379863 @default.
- W104918084 cites W2574105150 @default.
- W104918084 cites W2797078163 @default.
- W104918084 cites W2979143194 @default.
- W104918084 cites W3122025015 @default.
- W104918084 cites W3122384970 @default.
- W104918084 cites W3124973140 @default.
- W104918084 cites W3148312452 @default.
- W104918084 cites W45326702 @default.
- W104918084 cites W602964947 @default.
- W104918084 cites W2013479806 @default.
- W104918084 hasPublicationYear "2009" @default.
- W104918084 type Work @default.
- W104918084 sameAs 104918084 @default.
- W104918084 citedByCount "0" @default.
- W104918084 crossrefType "journal-article" @default.
- W104918084 hasAuthorship W104918084A5006388646 @default.
- W104918084 hasAuthorship W104918084A5031728660 @default.
- W104918084 hasConcept C105795698 @default.
- W104918084 hasConcept C134306372 @default.
- W104918084 hasConcept C138885662 @default.
- W104918084 hasConcept C149782125 @default.
- W104918084 hasConcept C152636012 @default.
- W104918084 hasConcept C2780388253 @default.
- W104918084 hasConcept C28826006 @default.
- W104918084 hasConcept C33923547 @default.
- W104918084 hasConcept C34388435 @default.
- W104918084 hasConcept C41895202 @default.
- W104918084 hasConcept C87040749 @default.
- W104918084 hasConceptScore W104918084C105795698 @default.
- W104918084 hasConceptScore W104918084C134306372 @default.
- W104918084 hasConceptScore W104918084C138885662 @default.
- W104918084 hasConceptScore W104918084C149782125 @default.
- W104918084 hasConceptScore W104918084C152636012 @default.
- W104918084 hasConceptScore W104918084C2780388253 @default.
- W104918084 hasConceptScore W104918084C28826006 @default.
- W104918084 hasConceptScore W104918084C33923547 @default.
- W104918084 hasConceptScore W104918084C34388435 @default.
- W104918084 hasConceptScore W104918084C41895202 @default.
- W104918084 hasConceptScore W104918084C87040749 @default.
- W104918084 hasLocation W1049180841 @default.
- W104918084 hasOpenAccess W104918084 @default.
- W104918084 hasPrimaryLocation W1049180841 @default.
- W104918084 hasRelatedWork W1549135415 @default.
- W104918084 hasRelatedWork W1971225230 @default.
- W104918084 hasRelatedWork W1976798714 @default.
- W104918084 hasRelatedWork W1993536653 @default.
- W104918084 hasRelatedWork W2004864905 @default.
- W104918084 hasRelatedWork W2010822898 @default.
- W104918084 hasRelatedWork W2046076301 @default.
- W104918084 hasRelatedWork W2051974696 @default.
- W104918084 hasRelatedWork W2068269714 @default.
- W104918084 hasRelatedWork W2070441019 @default.
- W104918084 hasRelatedWork W2129472704 @default.
- W104918084 hasRelatedWork W2133155497 @default.
- W104918084 hasRelatedWork W2151385137 @default.
- W104918084 hasRelatedWork W2152802491 @default.
- W104918084 hasRelatedWork W2887494898 @default.
- W104918084 hasRelatedWork W3174305045 @default.
- W104918084 hasRelatedWork W3185794278 @default.
- W104918084 hasRelatedWork W35839634 @default.
- W104918084 hasRelatedWork W1486183743 @default.
- W104918084 hasRelatedWork W2068327526 @default.
- W104918084 isParatext "false" @default.
- W104918084 isRetracted "false" @default.
- W104918084 magId "104918084" @default.
- W104918084 workType "article" @default.