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Mixtures of log-normal distributions in the mid-scale range of firm-size variables
In econophysics, firm sales and other firm-size variables follow a power-law distribution in the large-scale range and a log-normal distribution in...
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Quasi-Statistically Varying Power-Law and Log-Normal Distributions
In this chapter, we show that when a system changes quasi-statically, the power-law and log-normal distributions, which change quasi-statically, are...
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Normal-beta exponential stochastic frontier model: Maximum simulated likelihood approach
This paper considers the beta exponential distribution as a distribution function of inefficacy score in a stochastic frontier model. The beta...
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The Dividend Ratio Model
The equivalent risk-neutral valuation implies, that investors should not expect to earn more than a normal return in the stock market. We assess this...
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Advanced Car Price Modelling and Prediction
The scope of the paper is modelling and prediction of brand new car prices in the Greek market. At first the most important car characteristics are...
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Statistical Properties in Firms’ Large-scale Data
This is the first book to provide a systematic description of statistical properties of large-scale financial data. Specifically, the power-law and...
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Non-Gibrat’s Property in the Mid-Scale Range
The distribution of the growth rate does not depend on the initial value in a large-scale range of firm-size variables, such as operating revenues,...
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Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
We propose a deep learning-based methodology to investigate the complex dynamics of electricity prices observed in power markets. The aims are: (a)...
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Extension of Non-Gibrat’s Property
Similar to current profits discussed in Chap. 2 , operating revenues and total assets also follow a...
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Statistical Properties in Inactive Rate of Firms
In this chapter, we investigate the dependence of the inactive rate of firms on the following main financial variables: total revenue, net income,...
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Examining the Relationship Between Eco-efficiency and Energy Poverty: A Stochastic Frontier Models Approach
Using a stochastic frontier analysis log-linear function and comparable data for 26 economies over the 2008–2020 period, the relationship between...
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Elementary Tools for Stochasitc Analysis
Lambert Adolf Jacob Quételet (1796–1874), the astronomer, first attempted to ground statistical sociology with the ‘average man’ (l’ homme moyen). He...
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Algebra
A term within a universal set \( \mathbb{S} \) U is an expression composed of...
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The Simple Regression Model
Regression analysis consists in studying the dependence of a variable (the explained variable) on one or more other variables (the explanatory...
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Statistical Analysis
This chapter briefly explains the basics of statistics, regression analysis, and time series analysis.
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Explaining satisficing through risk aversion
This paper extends the analysis of the data from the experiment of Hey et al. (Theory and Decision 83(3): 337–353, 2017), which was designed to test...
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Volatility Analysis Using High-Frequency Financial Data
Stock market, whose total size exceeds 10 billion dollars, have boomed in the past few decades, becoming a crucial indicator of global economy. It is...
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Multifractal Analysis of Realized Volatilities in Chinese Stock Market
This paper presents a sliding window multifractal detrending moving average (MF-DMA) method for multifractal analysis of time series. Numerical...
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Equity Premium
The equity premium is the excess rate of return of stocks over the riskless rate. The assumption of log-normality for gross asset returns implies,...
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Efficient estimation of true fixed-effects stochastic frontier models
Fixed-effects modeling has become the method of choice in several panel data settings, including models for stochastic frontier analysis. A notable...
