Could Markets' Equilibrium Sets Be Fractal Attractors?
AbstractThe assumption that markets are positive linear structures moving toward stable fixed-point equilibria is not supproted by empirical investigations.This note reformulates the purest and the simplestof all Walrasian models, i. e.,a pure exchange economy, and shows that even such a simple market moves toward a compact time-invariant set of prices due to the constant destruction and creation of excess demands under the impulsion of self-interested agents with strong monotone preferences. Fractal attractors better explain continuous market fluctuations, 'black swans', and the flawed risk assessments of market risks of the financial engineers of Wall Street.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 13624.
Date of creation: 27 Feb 2009
Date of revision:
Market Equilibria; Market Fluctuations; Black Swans; Risk Assessment;
Find related papers by JEL classification:
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
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