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The Laplace illusion

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  • Manas, Arnaud

Abstract

It is shown that Gaussian mixture distributions cannot be distinguished from Laplace distributions and that the scaling relationship between the standard deviation of growth rates and the size of the firms is likely to be an artefact. A novel homogeneous dataset confirms both results.

Suggested Citation

  • Manas, Arnaud, 2012. "The Laplace illusion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3963-3970.
    • Handle: RePEc:eee:phsmap:v:391:y:2012:i:15:p:3963-3970
    DOI: 10.1016/j.physa.2012.03.017
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    References listed on IDEAS

    as
    1. Manas, Arnaud, 2009. "French butchers don't do quantum physics," Economics Letters, Elsevier, vol. 103(2), pages 101-106, May.
    2. Sutton, John, 2002. "The variance of firm growth rates: the ‘scaling’ puzzle," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 577-590.
    3. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
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    Cited by:

    1. Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano, 2019. "Modeling non-stationarities in high-frequency financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 173-196.
    2. Halvarsson, Daniel, 2013. "On the Estimation of Skewed Geometric Stable Distributions," Ratio Working Papers 216, The Ratio Institute.

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