Physics (Internal)

Economic Fluctuations and Statistical Physics

Economics Department Seminar

Abstract: Recent analysis of truly huge quantities of empirical data suggests that classic economic theories not only fail for a few outliers, but that there occur similar outliers of every possible size. In fact, if one analyzes only a small data set, then outliers appear to occur as rare events.'' However, when we analyze orders of magnitude more data (2 billion data points), we find orders of magnitude more outliers---so ignoring them is not a responsible option, and studying their properties becomes a realistic goal. We find that the statistical properties of theseoutliers'' are identical to the statistical properties of everyday fluctuations.