Benford's law has been applied in various ways for detecting fraud (e.g. elections or accounting). But what are the most useful applications of Benford in quantitative finance? Are there any? I have seen papers trying to apply Benford in this context but it often feels a bit "forced".
By accident i stumbled upon a new work submitted yesterday (http://arxiv.org/abs/1208.5896).
It seems most papers are talking about a specific dataset following Benfords law. But that seems not to be what you are looking for.
You should look into this bibliography here ( about Benford's law in general): http://arxiv.org/abs/math/0607168
There are also some (quantitative) finance related works in there (although rare). Most publications are pure mathematics though...
Here are some references out of the bibliography related to the subject
On the hypothesis of psychological barriers in stock markets and Benford's Law http://www.sciencedirect.com/science/article/pii/S0927539897000248
Doucouliagos, C. (2004). Number preference in Australian stocks. Applied Financial Economics 14(1), 43-54.
Herrmann, D. and W.B. Thomas (2005). Rounding of analyst forecasts. The Accounting Review
Those were the first i found. Ley, E. (1996). On the peculiar distribution of the U.S. Stock Indices Digits. The American Statistician 50(4), 311-313. http://www.jstor.org/discover/10.2307/2684926?uid=3738032&uid=2&uid=4&sid=21101183172427
Several more interesting sources can be found in there - but they are more method-related (i found time series, machine learning and various other mathematical subjects).
Most of the publications seem to deal with fraud in reporting/accounting and experimental data though.