Correlated walks down the Babylonian markets

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Published 5 May 2010 Europhysics Letters Association
, , Citation N. E. Romero et al 2010 EPL 90 18004 DOI 10.1209/0295-5075/90/18004

0295-5075/90/1/18004

Abstract

To investigate the evolution of market dynamics in different stages of historical development, we analyze commodity prices from two distinct periods —ancient Babylon, and medieval and early modern England. We find that the first-digit distributions of both Babylon and England commodity prices follow Benford's law, indicating that the data represent empirical observations typically arising from a free market. Further, we find that the normalized prices of both Babylon and England agricultural commodities are characterized by stretched exponential distributions, and exhibit persistent correlations of a power law type over long periods of up to several centuries, in contrast to contemporary markets. Our findings suggest that similar market interactions may underlie the dynamics of ancient agricultural commodity prices, and that these interactions may remain stable across centuries in two distinct historical periods.

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10.1209/0295-5075/90/18004