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

Jovanovic, Franck, & 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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Item Type:	Journal Articles
Refereed:	Yes
Status:	Published
Abstract:	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.
Depositor:	Jovanovic, Franck
Owner / Manager:	Franck Jovanovic
Deposited:	08 Sep 2017 19:49
Last Modified:	08 Sep 2017 19:49

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