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

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

2011-02-17

arxiv.org/abs/1102.3712v1

Economy

Quantitative Finance

Statistical Finance

Scientific paper

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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