States of randomness from mild to wild, and concentration from the short to the long run

Benoit B. Mandelbrot
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Benoit B. Mandelbrot: Yale University, Mathematics Department

Chapter E5 in Fractals and Scaling in Finance, 1997, pp 117-145 from Springer

Abstract: Abstract An innovative useful metaphor is put forward in this chapter, and described in several increasingly technical stages. Section 1 is informal, but Sections 4 and 5 are specialized beyond the concerns of most readers; in fact, the mathematical results they use are new. At the core is a careful examination of three well-known distributions: the Gaussian, the lognormal and the scaling with infinite variance (α

Keywords: Limit Theorem; Central Limit Theorem; Firm Size; Moment Problem; Tail Probability (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1007/978-1-4757-2763-0_5

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