A theory of power-law distributions in financial market fluctuations

By Xavier Gabaix, P. Gopikrishnan, V. Plerou, H. Eugene Stanley. Nature, 2003

1,254 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/98ce8c87a78f200f366a1dcb2df59a5d6a4659de

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Citations in the corpus

Cross-correlations between volume change and price change (2009, background): “[13] Gabaix X et al.”
How Markets Slowly Digest Changes in Supply and Demand (2008, positive): “The recent theory by Gabaix et al. (2003,2006) reaches the same conclusion.”
Power Laws in Economics: An Introduction (2016, background): “See the discussion in Gabaix et al. (2006) and Kyle and Obizhaeva (2013), which also argue that the 1929 crash is an example of that phenomenon.”
What really causes large price changes? (2003, background): “Gabaix et al.’s proposal is that high volume orders cause large price movements.”
Investor Networks in the Stock Market (2014, methodology): “We provide a brief summary of the arguments made in Gabaix, Gopikrishnan, Plerou, and Stanley (2003).”
The Long Memory of the Efficient Market (2003, neutral): “2001), wealth (Pareto, 1896) and mutual fund size (Gabaix et al, 2003), have power law distributions.”
A General Empirical Law of Public Budgets: A Comparative Analysis (2009, neutral): “Power function frequency distributions characterize many market-based transactions, and the exponents for these transactions are similar for different kinds of markets and transactions (Gabalx et al. 2003; Mandelbrot and Hudson 2004).”
The Granular Origins of Aggregate Fluctuations (2009, neutral): “This value (ζ ' 1) is often found in the social sciences, for instance in the size of cities (Zipf 1949), and in the amount of assets under management of mutual funds (Gabaix et al. 2003) and banks (Pushkin and Hassan 2004).10 The origins of this distribution are becoming better understood11.”
Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance (2008, background): “I postulate that Hit hovers around 2 Gabaix et al. (2003, 2006) offer a theory of the origins of high-frequency fat-tail risk in finance. a central value Hi* according to the linearitygenerating process (Gabaix 2007): (3) Linearity-generating twist: Hi, t11 5 Hi* 1 1 1 Hi* 1 1 Hit e2fH 1Hit 2…”
On the origin of power-law tails in price fluctuations (2003, background): “Figure 1. A demonstration that the statistical test of [ 1 ] fails due to the strong autocorrelations in real data.”