Personal career calculus, not just evidence, shaped academics’ abandonment of Levy distributions

Evidence

For Roll, too, the appearance of evidence at odds with self-similarity (in his case, in particular in Hsu, Miller, and Wichern 1974) suggested that further investment of his time in work on Levy distributions would be mistaken: “I started thinking … that maybe I shouldn’t waste too much effort trying to go further on the Levy laws. I worked a long time trying to derive closed-form density formulas [see appendix B] and stuff like that, and I could have done that the rest of my life, I suppose. So I decided to quit that and do other things.” — Donald MacKenzie, An Engine, Not a Camera, 511

Categorization

• SEED: An essay angle on how sunk costs and research-portfolio allocation, not disproof, drive paradigm abandonment in quantitative finance — the sociology of why fat tails were dropped before they were understood.
• XREF: connects to: Mainstream statistics training in the 1970s ignored Levy distributions — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 481; 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; Tenure-track conformity to power precedes and explains academic quietism — Hamid Dabashi, Brown Skin, White Masks, 325 (+2 more)

Broader Connections

• Mandelbrot’s Levy distributions failed as a research cascade because they were analytically intractable. #corroborates (0.85) — Donald MacKenzie, An Engine, Not a Camera, 1103
• Adopting Levy distributions would invalidate nearly all classical econometric methods #qualifies (0.80) — Donald MacKenzie, An Engine, Not a Camera, 505
• Tenure-track conformity to power precedes and explains academic quietism #complicates (0.75) — Hamid Dabashi, Brown Skin, White Masks, 325