基金规模尾部的实证研究

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摘要翻译：
共同基金行业管理着美国股市约四分之一的资产，因此在美国经济中扮演着重要角色。从基金规模分布的尾部行为来定量地讨论有多少控制权集中在最大的参与者手中的问题是最好的。我们对分布进行了实证研究，发现对数正态分布比幂律更好地描述了尾部，表明集中度低于例如个人收入。结果具有高度的统计学意义，并且在十五年中是一致的。这与最近关于交易量分布的幂律尾起源的理论相矛盾。根据本文的分析，对数正态性是可以预期的，并表明共同基金的分布永远处于不均衡状态。
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英文标题：
《An empirical study of the tails of mutual fund size》
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作者：
Yonathan Schwarzkopf and J. Doyne Farmer
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best quantitatively discussed in terms of the tail behavior of the mutual fund size distribution. We study the distribution empirically and show that the tail is much better described by a log-normal than a power law, indicating less concentration than, for example, personal income. The results are highly statistically significant and are consistent across fifteen years. This contradicts a recent theory concerning the origin of the power law tails of the trading volume distribution. Based on the analysis in a companion paper, the log-normality is to be expected, and indicates that the distribution of mutual funds remains perpetually out of equilibrium.
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PDF链接：
https://arxiv.org/pdf/1005.4976

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关键词：实证研究 Quantitative distribution Applications concentrated study 具有 研究 基金 empirical