Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki - In: Journal of the European Economic Association 5 (2007) 2-3, pp. 564-573
We survey a theory of the economic underpinnings of the fat-tailed distributions of a number of financial variables, such as returns and trading volumes. Our theory posits that they have a common origin in the strategic trading behavior of very large financial institutions in a relatively...
