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Monte Carlo-based tail exponent estimator
In this paper we propose a new approach to estimation of the tail exponent in
financial stock markets. We begin the study with the finite sample behavior of
the Hill estimator under {\alpha}-stable distributions. Using large Monte Carlo
simulations, we show that the Hill estimator overestimates the true tail
exponent and can hardly be used on samples with small length. Utilizing our
results, we introduce a Monte Carlo-based method of estimation for the tail
exponent. Our proposed method is not sensitive to the choice of tail size and
works well also on small data samples. The new estimator also gives unbiased
results with symmetrical confidence intervals. Finally, we demonstrate the
power of our estimator on the international world stock market indices. On the
two separate periods of 2002-2005 and 2006-2009, we estimate the tail exponent
The marginally stable Bethe lattice spin glass revisited
Bethe lattice spins glasses are supposed to be marginally stable, i.e. their
equilibrium probability distribution changes discontinuously when we add an
external perturbation. So far the problem of a spin glass on a Bethe lattice
has been studied only using an approximation where marginally stability is not
present, which is wrong in the spin glass phase. Because of some technical
difficulties, attempts at deriving a marginally stable solution have been
confined to some perturbative regimes, high connectivity lattices or
temperature close to the critical temperature. Using the cavity method, we
propose a general non-perturbative approach to the Bethe lattice spin glass
problem using approximations that should be hopeful consistent with marginal
stability.Comment: 23 pages Revised version, hopefully clearer that the first one: six
pages longe
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