Abstract: A set of data with positive values follows a Pareto distribution if the log-log plot of value versus rank is approximately a straight line. A Pareto distribution satisfies Zipf's law if the log-log plot has a slope of -1. Since many types of ranked data follow Zipf's law, it is considered a form of universality. We propose a mathematical explanation for this phenomenon based on Atlas models and first-order models, systems of positive continuous semimartingales with parameters that depend only on rank. We show that the stable distribution of an Atlas model will follow Zipf's law if and only if two natural conditions, conservation and completeness, are satisfied. Since Atlas models and first-order models can be constructed to approximate systems of time-dependent rank-based data, our results can explain the universality of Zipf's law for such systems. However, ranked data generated by other means may follow non-Zipfian Pareto distributions. Hence, our results explain why Zipf's law holds for word frequency, firm size, household wealth, and city size, while it does not hold for earthquake magnitude, cumulative book sales, the intensity of solar flares, and the intensity of wars, all of which follow non-Zipfian Pareto distributions.
Recommendations
Cites work
- A phase transition behavior for Brownian motions interacting through their ranks
- A second-order stock market model
- Atlas models of equity markets
- Brownian models of open queueing networks with homogeneous customer populations∗
- Convergence rates for rank-based models with applications to portfolio theory
- Equilibrium fluctuation of the Atlas model
- Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
- scientific article; zbMATH DE number 3688420 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1059167 (Why is no real title available?)
- scientific article; zbMATH DE number 1746020 (Why is no real title available?)
- Hybrid Atlas models
- Large deviations for diffusions interacting through their ranks
- Local times of ranked continuous semimartingales
- Multidimensional diffusion processes.
- Multidimensional reflected Brownian motions having exponential stationary distributions
- ON A CLASS OF SKEW DISTRIBUTION FUNCTIONS
- On collisions of Brownian particles
- One-dimensional Brownian particle systems with rank-dependent drifts
- Planar diffusions with rank-based characteristics and perturbed Tanaka equations
- Reflected Brownian motion on an orthant
- Reflected Brownian motion with skew symmetric data in a polyhedral domain
- Stochastic Portfolio Theory: an Overview
- Strong solutions of stochastic equations with rank-based coefficients
- The infinite Atlas process: convergence to equilibrium
- Triple and simultaneous collisions of competing Brownian particles
- Two Brownian particles with rank-based characteristics and skew-elastic collisions
- Uniqueness for diffusions with piecewise constant coefficients
- Zipf's Law for Cities: An Explanation
Cited in
(4)
This page was built for publication: Zipf's law for Atlas models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5139930)
