论文标题
市场法律
Market laws
论文作者
论文摘要
研究了数十亿个数据，这些数据用几种金融工具的不同频率进行了抽样，目的是测试它们是否涉及权力法。结果，在相对回报的经验分布中检测到了具有-4左右的已知功率定律。此外，在相同的数据中探索了许多具有各种功率指数的新电力法行为。此外，提出了指数中具有随机（伪和乘积）乘数的众多麦克斯韦 - 波尔兹曼类型分布函数的有限总和的模型，以处理涉及幂律的经验分布。结果表明所提出的模型可能是通用的。
More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was detected in the empirical distributions of the relative returns. Moreover, a number of new power law behaviors with various power exponents were explored in the same data. Further on, a model based on finite sums over numerous Maxwell-Boltzmann type distribution functions with random (pseudorandom) multipliers in the exponent were proposed to deal with the empirical distributions involving power laws. The results indicate that the proposed model may be universal.
