An income distribution glimpsed in a discarded paper steered Mandelbrot toward Levy’s stable distributions

Evidence

Mandelbrot saw the possibility of applying to the topic a more sophisticated mathematical formulation derived from the work of his undergraduate professor Paul Levy. Among the topics investigated by Levy was probability distributions that are “stable” in the sense that if two independent variables follow a probability distribution of a given form, their sum also follows that probability distribution (Levy 1925, pp. — Donald MacKenzie, An Engine, Not a Camera, 477

Categorization

• DEFINE: Defines what it means for a distribution to be ‘stable’ — a key technical term for the Levy family.
• XREF: connects to: The Levy distribution’s failure to survive time aggregation cooled academic interest in fat tails — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 509; Mandelbrot’s Levy distribution evidence was largely graphical and informal — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 504

Broader Connections

• Mandelbrot’s Levy distribution evidence was largely graphical and informal #expands (0.80) — Donald MacKenzie, An Engine, Not a Camera, 504
• The Levy distribution’s failure to survive time aggregation cooled academic interest in fat tails #corroborates (0.75) — Donald MacKenzie, An Engine, Not a Camera, 509