Browsing by Subject Power–law

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  • Paper_FE07_Khan.pdf.jpg
  • Conference Paper


  • Authors: Khan, Saleem; Asghar, Zahid; Ali, Wajid (2019)

  • We study the distribution of fluctuations of daily both aggregated returns of 33 KSE stocks and individually stock and index for the period of june-2004 to Feb-2012. We present evidence that econometric techniques based on normality assumption cannot be trusted in true fat-tailed distribution. The result is un-computability of role of tail events where one single observation explains 99% of total kurtosis properties. It also classifies decision payoffs in two types: simple payoffs (true/false or binary) and complex (higher moments); and randomness into type-1 (thin tails) and type-2 (true fat tails). We find that both positive and negative tail follow power law and tail exponen...

Browsing by Subject Power–law

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 1 of 1
  • Paper_FE07_Khan.pdf.jpg
  • Conference Paper


  • Authors: Khan, Saleem; Asghar, Zahid; Ali, Wajid (2019)

  • We study the distribution of fluctuations of daily both aggregated returns of 33 KSE stocks and individually stock and index for the period of june-2004 to Feb-2012. We present evidence that econometric techniques based on normality assumption cannot be trusted in true fat-tailed distribution. The result is un-computability of role of tail events where one single observation explains 99% of total kurtosis properties. It also classifies decision payoffs in two types: simple payoffs (true/false or binary) and complex (higher moments); and randomness into type-1 (thin tails) and type-2 (true fat tails). We find that both positive and negative tail follow power law and tail exponen...