Mandelbrot, Fama and the emergence of econophysics
| Autor: | Boris Salazar Trujillo |
|---|---|
| Jazyk: | English<br />Spanish; Castilian |
| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | Cuadernos de Economía, Vol 35, Iss 69, Pp 637-662 (2016) |
| Druh dokumentu: | article |
| ISSN: | 0121-4772 2248-4337 |
| DOI: | 10.15446/cuad.econ.v35n69.44320 |
| Popis: | It is argued that Mandelbrot’s stable Lévy-Pareto distributions were not accepted into the emerging field of financial economics due to their incompatibility with the analytical techniques and properties of equilibrium economics, and to the absence –both in physics and in economics— of analytical solutions to the infinite variance associated with those distributions. Whilst physicists made stable Lévy distributions plausible, creating Econophysics in the meantime, economists just forgot about them, suggesting their strong bias towards desirable properties and against established facts. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
|