2016 Vaden W. Miles Memorial Lecture

April 7, 2016

H. Eugene Stanley

William Fairfield Warren Distinguished Professor
Professor of Physics
Professor of Chemistry
Professor of Biomedical Engineering
Professor of Physiology (School of Medicine)
Director, Center for Polymer Studies, Boston University

Economic Fluctuations & Statistical Physics

 
Gene Stanley
 
Recent analysis of truly huge quantities of empirical data suggests that classic economic theories not only fail for a few outliers, but that there occur similar outliers of every possible size. In fact, if one analyzes only a small data set (say one million data points), then outliers appear to occur as "rare events". However, when we analyze orders of magnitude more data (200 million data points!), we find orders of magnitude more outliers---so ignoring them is not a responsible option, and studying their properties becomes a realistic goal.  We find that the statistical properties of these "outliers'' are identical to the statistical properties of everyday fluctuations. We report a recent discovery that the same laws govern the formation and bursting of large bubbles as tiny bubbles, over a factor of 1,000,000,000 in time scale.

Financial market fluctuations are characterized by many abrupt switchings on very short time scales from increasing "microtrends" to decreasing "microtrends"---and vice versa. We show that these switching processes have quantifiable features analogous to those present in phase transitions, and find striking scale-free behavior of the time intervals between transactions both before and after the switching occurs.  We interpret our findings as being consistent with time-dependent collective behavior of financial market participants. We test the possible universality of our result by performing a parallel analysis of volatility and transaction volume fluctuations.
 
Join us for this fascinating lecture on Thursday, April 7th, 2016
The lecture will begin at 4:00 pm at:
 
Bernath Auditorium
David Adamany Undergraduate Library
Wayne State University
Detroit, MI
 
Refreshments will be served beforehand from 3:00 pm at:
 
Rm 245, Physics Research Building
666 W. Hancock,
Wayne State University
Detroit, MI
 
Please RSVP for this free event here as seating is limited
 
Event poster available here

The history behind the Vaden Miles Memorial lecture can be found here