📅 2023-05-26 — Session: Critique and Analysis of Gabaix’s Volatility Model
🕒 10:25–11:30
🏷️ Labels: Gabaix, Idiosyncratic Volatility, Hyperbolic Functions, Economic Theory, Thesis Review
📂 Project: Business
⭐ Priority: MEDIUM
Session Goal: The session aimed to critically analyze Xavier Gabaix’s (2011) proposition regarding the relationship between idiosyncratic volatility and population size, and to explore mathematical transformations related to hyperbolic functions.
Key Activities:
- Conducted a critique of Gabaix’s model, focusing on the assumptions of linearization, uniform variance, and generalization from the Herfindahl index.
- Proposed methodologies for further investigation into the relationship between idiosyncratic variance and population size.
- Engaged in mathematical derivations and transformations involving hyperbolic functions, specifically deriving expressions for hyperbolic sine and transforming expressions using hyperbolic identities.
- Reviewed a thesis section on agent aggregation and log-normal distributions, providing feedback for clarity and accessibility.
Achievements:
- Clarified potential overgeneralizations in Gabaix’s model and identified areas for further empirical research.
- Successfully derived and transformed mathematical expressions involving hyperbolic functions.
- Provided constructive feedback on a thesis section, enhancing its clarity and presentation.
Pending Tasks:
- Further empirical investigation into Gabaix’s claims about idiosyncratic volatility and population size.
- Outreach to research groups for insights into covariance matrices and non-linear transformations.