Could Markets' Equilibrium Sets Be Fractal Attractors?

C-Rene Dominique

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Market Equilibria; Market Fluctuations; Black Swans; Risk Assessment (search for similar items in EconPapers)
JEL-codes: D50 (search for similar items in EconPapers)
Date: 2009-02-27
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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