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math.PR2016★ 2 cited
Outliers, the Law of Large Numbers, Index of Stability and Heavy Tails
Lev B. Klebanov, Ashot V. Kakosyan, Andrea Karlova
We are trying to give a mathematically correct definition of outliers. Our approach is based on the distance between two last order statistics and appears to be connected to the la…
stat.AP2016
Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling
Lev B. Klebanov, Greg Temnov, Ashot V. Kakosyan
In the present paper, we discuss contra-arguments concerning the use of Pareto-Levý distributions for modeling in Finance. It appears that such probability laws do not provide suff…