2020
DOI: 10.48550/arxiv.2012.10145
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Heavy tailed distributions in closing auctions

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“…The negative skewness is associated, thus, with a positive tail of the distribution being heavier than the negative tail. There are mixed outcomes of the empirical data reported in the literature, including indications of either positive, negative, or neutral skewness as well as the scaling exponent difference between the left and the right tails (in the case of power-law tails) dependent on the analyzed time intervals, markets, and securities (e.g., References [14,16,17,20,28,31,36,62,71,94,[111][112][113][114][115][116][117][118][119]). However, even though a difference between the positive and negative tails exists in the data, it has a much weaker impact on the distribution shape and the related investment risk than the heavy tails.…”
Section: Introductionmentioning
confidence: 99%
“…The negative skewness is associated, thus, with a positive tail of the distribution being heavier than the negative tail. There are mixed outcomes of the empirical data reported in the literature, including indications of either positive, negative, or neutral skewness as well as the scaling exponent difference between the left and the right tails (in the case of power-law tails) dependent on the analyzed time intervals, markets, and securities (e.g., References [14,16,17,20,28,31,36,62,71,94,[111][112][113][114][115][116][117][118][119]). However, even though a difference between the positive and negative tails exists in the data, it has a much weaker impact on the distribution shape and the related investment risk than the heavy tails.…”
Section: Introductionmentioning
confidence: 99%