Discrete hierarchy of sizes and performances in the exchange-traded fund universe

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• 作者：B. Vandermarliere^a ; ^b ; ^{benjamin.vandermarliere@ugent.be} ; J. Ryckebusch^b ; ^{Jan.Ryckebusch@UGent.be} ; K. Schoors^b ; ^{Koen.Schoors@UGent.be} ; P. Cauwels^c ; ^{pcauwels@ethz.ch} ; D. Sornette^c ; ^{dsornette@ethz.ch}
• 关键词：Econophysics ; Exchange-traded funds (ETFs) ; Probability density function of ETF sizes ; Discrete scale invariance ; ETF size layers and performance measures
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 March 2017
• 年：2017
• 卷：469
• 期：Complete
• 页码：111-123
• 全文大小：2337 K
• 卷排序：469

文摘

The size distribution of exchange-traded funds exhibits a discrete hierarchy of sizes. This is shown with a spectral analysis of residuals and by studying the generalized derivative. Several explanatory mechanisms are offered for this discrete scale invariance. Larger ETFs exhibit a significantly stronger similarity compared with smaller ETFs.