SURVEY OF THE LITERATURE: Power Laws
Sanjiv R. Das and Jacob Sisk
Volume 3, Number 3, Third Quarter 2005
We provide a brief survey of two areas in finance in which power laws may play an important role—one, in better describing the tails of return distributions; and two, in market microstructure modeling. While the existing literature in finance is not extensive, we have surveyed a collection of papers in finance, as well as in other areas, attempting to highlight cross-disciplinary connections.