Correlated Randomness: Rare and Not-so-Rare Events in Finance

摘要: One challenge of economics is that the systems treated by these sciences have no perfect metronome in time and spatial architecture—crystalline or otherwise. Nonetheless, as if magic, out nothing but randomness one finds remarkably fine-tuned processes time. To understand this “miracle,” might consider placing aside human tendency to see universe a machine. Instead, address uncovering how, through (albeit, we shall see, strongly correlated randomness), can arrive at many temporal patterns economics. Inspired principles developed statistical physics over past 50 years—scale invariance universality—we review some recent applications