Economic Origins of the Fractal Behavior of the Stock Market
Xavier Gabaix
Thu Jan 27, 04-05:00pm, E51-376
No enrollment limit, no advance sign up
Single session event
Economic data display a series of robust fractal relationships that seem to hold across different times and economic systems. For instance, the distribution of firms, cities, mutual funds and even internet sites seem to follow "Zipf's law." Zipf's law says that the size of firms (resp. city, mutual fund etc) of the n-th largest city is proportional to 1/n. Similarly robust patterns have been found in the scaling of stock market fluctuations, trading activity, firm and GDP growth dynamics. This talk will survey the evidence and proposed explanations for those regularities. They typically have a "statistical physics" flavor and give us a better insight in what causes fractal behavior in economic life.
Contact: Theresa Benevento, E52-274, x3-8883, theresa@mit.edu
Sponsor: Economics
Latest update: 05-Jan-2005
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