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The article says economics (well, graphs of stock prices) are scale free. Is this true? Seems hard to prove, can anyone point to any research?
by Robin_Message 17y ago
The article says economics (well, graphs of stock prices) are scale free. Is this true? Seems hard to prove, can anyone point to any research?
- deleted 17y ago[deleted]
- jk4930 17y agoI have some books on complex networks and some on computational finance, it's common knowledge that such graphs are scale invariant (and not hard to show, because you just measure relations of ups and downs and volatility a.s.o.and see that they are independent from the absolute numbers on the graph scale). Many people like the works of Benoit Mandelbrot on fractals in finance. Google these keywords.
- Anon84 17y agoCan you recommend any?
- agbell 17y agohttp://www.amazon.com/Mis-behavior-Markets-Benoit-Mandelbrot/dp/0465043550 http://www.amazon.com/Mis-behavior-Markets-Benoit-Mandelbrot...
- nostrademons 17y agoA fun exercise is to hook a randomwalk up to a pretty charting package, show the resulting charts to a finance person, and watch them ask "What stock is that?" I did that all the time when I was working at a financial software startup. (Mostly because I was working on our charting library and needed fake data to test...)
- joe_the_user 17y agoBenoit Mandlebrot said that in the sixties. But the scale-free quality does not imply predictability. In fact, I suspect it implies the opposite.
- mediaman 17y agoIndeed it is true, except for very short periods of time where it begins to break down. In quantitative finance one can model the market or an individual stock as a Brownian motion with a long term upwards drift. The results look startlingly similar to what we're used to seeing on actual stock charts.