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most citedA two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes

3 citations · 6 across the 3 of their papers we have counts for

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physics.soc-ph2003

Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?

Y. Malevergne, V. F. Pisarenko, D. Sornette

A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revi…