1202.0142 (João P. da Cruz et al.)

Heavy-tails in economic data: fundamental assumptions, modelling and
analysis    [PDF]

João P. da Cruz, Pedro G. Lind

The study of heavy-tailed distributions in economic and financial systems has
been widely addressed since financial time series has become a research
subject.After the eighties, several "highly improbable" market drops were
observed (e.g. the 1987 stock market drop known as "Black Monday" and on even
more recent ones, already in the 21st century) that produce heavy losses that
were unexplainable in a GN environment. The losses incurred in these large
market drop events did not change significantly the market practices or the way
regulation is done but drove some attention back to the study of heavy-tails
and their underlying mechanisms. Some recent findings in these context is the
scope of this manuscript.

View original: http://arxiv.org/abs/1202.0142