Underreporting and undersampling biases in top tail wealth, although widely acknowledged, have not been statistically quantified so far, essentially because they are not readily observable. Here we exploit the functional form of power law‐like regimes in top tail wealth to derive analytical...

We propose a new method of tail analysis for data featuring a high degree of leptokurtosis. Heavy tails can typically be found in financial series, like for example, the stock returns or durations between arrivals of trades. In our framework, the shape of tails can be assessed by fitting some...