Todorova, Lora; Vogt, Bodo - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4433-4444
Power law distributions are very common in natural sciences. We analyze high frequency financial data from XETRA and the NYSE using maximum likelihood estimation and the Kolmogorov–Smirnov statistic to test whether the power law hypothesis holds also for these data. We find that the...