Does God practice a random walk? The "financial physics" of a 19th century forerunner, Jules Regnault [r-libre/1171]

Jovanovic, Franck et Le Gall, Philippe (2001). Does God practice a random walk? The "financial physics" of a 19th century forerunner, Jules Regnault. European Journal of the History of Economic Thought, 8 (3), 332-362.

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Catégorie de document :	Articles de revues
Évaluation par un comité de lecture :	Oui
Étape de publication :	Publié
Résumé :	We present and analyze a forgotten 19th century French economist, Jules Regnault, whose Calcul des Chances et Philosophie de la Bourse (1863) laid the basis of modern stochastic models of price behavior and contains a clear anticipation of econometrics. We explain that at a time when short term speculation was denounced as immoral, he approached this question “scientifically” and constructed models that separated long term speculation from the desire for immediate gains. Moreover, his conception of Nature as a simple and divine machine motivated the use of laws devised by natural scientists. Two models were devised. The first one was relative to short term speculation and took the shape of a random walk ―a model used by Louis Bachelier in 1900. The second one was relative to long term speculation and aims at evaluating the mean value of the French 3% bond.
Déposant:	Jovanovic, Franck
Responsable :	Franck Jovanovic
Dépôt :	08 sept. 2017 19:49
Dernière modification :	08 sept. 2017 19:49

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