IJPAM: Volume 50, No. 2 (2009)

ESTIMATION OF EXTREME VALUES OF
RETURNS USING THE ZIPF-MANDELBROT LAW

Vladimir Gisin$^1$, Andrey Markov$^2$, Igor Vinukov$^3$
$^{1,2,3}$Finance Academy under the Government of the Russian Federation
49, Leningradsky Prospect, Moscow, 125468, RUSSIA
$^1$e-mail: [email protected]


Abstract.Many empirical distributions in finance have so-called fat tails which exhibit power-low behavior. This phenomenon can be explained by means of the Zipf-Mandelbrot law. In this paper we estimate the extreme values of stock return using this low.

Received: August 14, 2008

AMS Subject Classification: 62P20, 91B28, 91B84

Key Words and Phrases: Zipf law, fat tails, financial market

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2009
Volume: 50
Issue: 2