Correlated walks down the Babylonian markets

¹  Physics Department, Florida Atlantic University - Boca Raton, FL 33431, USA
²  Harvard Medical School and Division of Sleep Medicine, Brigham and Women's Hospital - Boston, MA 02115, USA
³  College of Geography and Biological Information, Nanjing University of Posts and Telecommunications Nanjing 210003, China
⁴  Center for Complex Systems and Brain Sciences, Florida Atlantic University - Boca Raton, FL 33431, USA
⁵  Anthropology Department, Florida Atlantic University - Boca Raton, FL 33431, USA
⁶  Center for Polymer Studies and Department of Physics, Boston University - Boston, MA 02215, USA
⁷  Departamento de Física Aplicada II, Universidad de Málaga - 29071 Málaga, Spain, EU

Corresponding author: plamen@buphy.bu.edu

Received: 27 January 2010
Accepted: 29 March 2010

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.