4 papers · 1 filter
The Rank Effect for Commodities
Ricardo T. Fernholz, Christoffer Koch
We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arb…
A Rank-Based Approach to Zipf's Law
Ricardo T. Fernholz, Robert Fernholz
An Atlas model is a rank-based system of continuous semimartingales for which the steady-state values of the processes follow a power law, or Pareto distribution. For a power law,…
Empirical Methods for Dynamic Power Law Distributions in the Social Sciences
Ricardo T. Fernholz
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on p…
A Statistical Model of Inequality
Ricardo T. Fernholz
This paper develops a nonparametric statistical model of wealth distribution that imposes little structure on the fluctuations of household wealth. In this setting, we use new tech…