Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 81-88
We survey a theory (first sketched in Nature in 2003, then fleshed out in the Quarterly Journal of Economics in 2006) of the economic underpinnings of the fat-tailed distributions of a number of financial variables, such as returns and trading volume. Our theory posits that they have a common...