Gu, Gao-Feng; Zhou, Wei-Xing - arXiv.org - 2008
-driven market, which can successfully reproduce the whole distribution of returns, not only the well-known power-law tails, together … always produce power-law tails in the return distribution $f(r)$ with different tail exponent $\alpha_r$. In this paper, we … study the origin of the power-law tails of the return distribution $f(r)$ in the MF model, based on extensive simulations …