On the concentration of large deviations for fat tailed distributions, with application to financial data

DOI10.1088/1742-5468/2014/09/P09030zbMath1456.60065arXiv1201.2817OpenAlexW3123909879MaRDI QIDQ3302064

Maria Peressi, Mario Filiasi, Erik Vesselli, Giacomo Livan, Elia Zarinelli, Matteo Marsili

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.2817

Mathematics Subject Classification ID

Large deviations (60F10) Financial applications of other theories (91G80)

Related Items (6)

A generalized error distribution copula-based method for portfolios risk assessment ⋮ Dynamics of fluctuations in the Gaussian model with conserved dynamics ⋮ Rare events in stochastic processes with sub-exponential distributions and the big jump principle ⋮ Large deviations of spread measures for Gaussian matrices ⋮ Condensation with two constraints and disorder ⋮ An elementary renormalization-group approach to the generalized central limit theorem and extreme value distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Statistical distribution of quantum entanglement for a random bipartite state
• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools.
• Phase diagram of the mean field model of simplicial gravity
• On the distribution of the largest eigenvalue in principal components analysis
• Dynamic instability in generic model of multi-assets markets
• Canonical analysis of condensation in factorised steady states
• On the top eigenvalue of heavy-tailed random matrices
• Phase Transitions in the Distribution of Bipartite Entanglement of a Random Pure State
• Nonequilibrium statistical mechanics of the zero-range process and related models
• Top eigenvalue of a random matrix: large deviations and third order phase transition
• Large deviations of the maximum eigenvalue in Wishart random matrices
• Information, Physics, and Computation
• The eigenvalue spectrum of a large symmetric random matrix
• Empirical properties of asset returns: stylized facts and statistical issues
• Random Matrix Theory and Wireless Communications
• Large deviations

This page was built for publication: On the concentration of large deviations for fat tailed distributions, with application to financial data