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Could Markets' Equilibrium Sets Be Fractal Attractors?

  • Dominique, C-Rene

The 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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13624.

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Date of creation: 27 Feb 2009
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Handle: RePEc:pra:mprapa:13624
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  1. C-René Dominique, 2008. "Walrasian Solutions Without Utility Functions," EERI Research Paper Series EERI_RP_2008_10, Economics and Econometrics Research Institute (EERI), Brussels.
  2. Frank, Murray & Gencay, Ramazan & Stengos, Thanasis, 1988. "International chaos?," European Economic Review, Elsevier, vol. 32(8), pages 1569-1584, October.
  3. Dominique, C-Rene, 2008. "Walrasian Solutions Without Utility Functions," MPRA Paper 8906, University Library of Munich, Germany, revised 2008.
  4. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October.
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