英文标题：
《GDP growth rates as confined L\\\'evy flights》
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作者：
Sandro Claudio Lera and Didier Sornette
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最新提交年份：
2017
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英文摘要：
A new model that combines economic growth rate fluctuations at the microscopic and macroscopic level is presented. At the microscopic level, firms are growing at different rates while also being exposed to idiosyncratic shocks at the firm and sector level. We describe such fluctuations as independent L\\\'evy-stable fluctuations, varying over multiple orders of magnitude. These fluctuations are aggregated and measured at the macroscopic level in averaged economic output quantities such as GDP. A fundamental question is thereby to what extend individual firm size fluctuations can have a noticeable impact on the overall economy. We argue that this question can be answered by considering the L\\\'evy fluctuations as embedded in a steep confining potential well, ensuring nonlinear mean-reversal behavior, without having to rely on microscopic details of the system. The steepness of the potential well directly controls the extend towards which idiosyncratic shocks to firms and sectors are damped at the level of the economy. Additionally, the theory naturally accounts for business cycles, represented in terms of a bimodal economic output distribution, and thus connects two so far unrelated fields in economics. By analyzing 200 years of US GDP growth rates, we find that the model is in good agreement with the data.
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中文摘要：
提出了一个新的模型，该模型将微观和宏观层面的经济增长率波动结合起来。在微观层面，企业以不同的速度增长，同时也面临着企业和行业层面的特殊冲击。我们将这种波动描述为独立的Levy稳定波动，在多个数量级上变化。这些波动在宏观层面上以GDP等平均经济产出量进行汇总和衡量。因此，一个根本问题是，单个企业规模的波动在多大程度上会对整体经济产生显著影响。我们认为，这个问题可以通过考虑嵌入在陡峭限制势阱中的列维涨落来回答，确保非线性平均反转行为，而不必依赖系统的微观细节。潜在油井的陡峭程度直接控制着对企业和部门的特殊冲击在经济层面上的衰减程度。此外，该理论自然地解释了以双峰经济产出分布为代表的商业周期，因此将经济学中迄今为止不相关的两个领域联系起来。通过对200年来美国GDP增长率的分析，我们发现该模型与数据吻合良好。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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