Scale invariance stock market
Physicists Predict Stock Market Crashes
This service is more advanced with JavaScript available, learn more at http: Scale Invariance and Beyond pp Mandelbrot [1—2], remain relativily unheard outside financial markets and research centers devoted to finance. Actually, history of economics thought is full of scale invariant distributions, but under another name: This famous sociologist and economist of the end of the XIXth century found numerous examples of power laws in income size-distributions [3].
Nevertheless, income distributions are not the unique family of scale invariant economic distributions.
Firm sizes and assets sizes [4—6], industrial insurance claim sizes [7—9], economic damages due to natural catastrophes, such as hurricanes or earthquakes [10—11], stock market prices fluctuations in the short run and in the long run [2, 6, 12—14] etc. In that case they have either a power law on both tails, a typical behavior of all stable non gaussian distributions fitting the whole distribution, or a gaussian law fitting the whole distribution.
As regards stock market, scale invariance is not a new scientific discovery. In order to sort out the origins and implications of scale invariance in economics, we will restrict our analysis to one-tail economic phenomena, deferring the analysis of two tails scale invariant economic phenomena to another lecture.
Unable to display preview. Part of Springer Nature. Not logged in Not affiliated Scale Invariance in Economics and in Finance. Cite this paper as: Centre de Physique des Houches, vol 7.
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The Scale-Invariant Brownian Motion Equation and the Lognormal Cascade in the Stock Market by Stephen H.T. Lihn :: SSRN
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