Econophysics and Data Driven Modelling of Market Dynamics by Frédéric Abergel Hideaki Aoyama Bikas K. Chakrabarti Anirban Chakraborti & Asim Ghosh
Author:Frédéric Abergel, Hideaki Aoyama, Bikas K. Chakrabarti, Anirban Chakraborti & Asim Ghosh
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham
For small sample sizes, the value of the indices differed significantly from their theoretical values. But all the bias terms go down to zero as the sample size increases.
The standard deviation of the K-index is the smallest.
The variance of Gini and K indices decrease with increase in sample size. But this is not the case for the Zenga index.
The skewness of Gini and K-index are very small under the lognormal and Weibull model, but quite large under the other models. In fact, in the later case, they increase with sample size. The skewness of the Zenga index is always moderate.
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