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Could Markets' Equilibrium Sets Be Fractal Attractors?

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  • Dominique, C-Rene

Abstract

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.

Suggested Citation

  • Dominique, C-Rene, 2009. "Could Markets' Equilibrium Sets Be Fractal Attractors?," MPRA Paper 13624, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:13624
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    File URL: https://mpra.ub.uni-muenchen.de/13624/1/MPRA_paper_13624.pdf
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    References listed on IDEAS

    as
    1. Dominique, C-Rene, 2008. "Walrasian Solutions Without Utility Functions," MPRA Paper 8906, University Library of Munich, Germany, revised 2008.
    2. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October.
    3. Frank, Murray & Gencay, Ramazan & Stengos, Thanasis, 1988. "International chaos?," European Economic Review, Elsevier, vol. 32(8), pages 1569-1584, October.
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    Cited by:

    1. Dominique, C-Rene, 2009. "On the Computation of the Hausdorff Dimension of the Walrasian Economy:Further Notes," MPRA Paper 16723, University Library of Munich, Germany.
    2. Dominique, C-Rene, 2009. "On the Computation of the Hausdorff Dimension of the Walrasian Economy: Addendum," MPRA Paper 18292, University Library of Munich, Germany.

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    More about this item

    Keywords

    Market Equilibria; Market Fluctuations; Black Swans; Risk Assessment;
    All these keywords.

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General

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