Mandelbrot, Fama and the emergence of econophysics
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 so...
- Autores:
-
Salazar Trujillo, Boris
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2016
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/62571
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/62571
http://bdigital.unal.edu.co/61730/
- Palabra clave:
- 33 Economía / Economics
Efficient markets hypothesis
Mandelbrot
Fama
stable Lévy-Pareto distributions
Gaussian distribution
Kuhn
Lakatos
methodology
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional
| Summary: | 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. |
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