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...

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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
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spelling Atribución-NoComercial 4.0 InternacionalDerechos reservados - Universidad Nacional de Colombiahttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Salazar Trujillo, Boris7cbee477-9e9e-403c-b204-a1808c6c2bee3002019-07-02T21:04:42Z2019-07-02T21:04:42Z2016-09-01ISSN: 2248-4337https://repositorio.unal.edu.co/handle/unal/62571http://bdigital.unal.edu.co/61730/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.application/pdfspaUniversidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias Económicas - Escuela de Economíahttps://revistas.unal.edu.co/index.php/ceconomia/article/view/44320Universidad Nacional de Colombia Revistas electrónicas UN Cuadernos de EconomíaCuadernos de EconomíaSalazar Trujillo, Boris (2016) Mandelbrot, Fama and the emergence of econophysics. Cuadernos de Economía, 35 (69). pp. 637-662. ISSN 2248-433733 Economía / EconomicsEfficient markets hypothesisMandelbrotFamastable Lévy-Pareto distributionsGaussian distributionKuhnLakatosmethodologyMandelbrot, Fama and the emergence of econophysicsArtículo de revistainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/ARTORIGINAL44320-288286-1-PB.pdfapplication/pdf420722https://repositorio.unal.edu.co/bitstream/unal/62571/1/44320-288286-1-PB.pdfbc8579e5a2109db4908ae3aa68a70a17MD51THUMBNAIL44320-288286-1-PB.pdf.jpg44320-288286-1-PB.pdf.jpgGenerated Thumbnailimage/jpeg3794https://repositorio.unal.edu.co/bitstream/unal/62571/2/44320-288286-1-PB.pdf.jpg50af6270482d0ff6e94f5dde6485be11MD52unal/62571oai:repositorio.unal.edu.co:unal/625712023-04-17 23:05:14.937Repositorio Institucional Universidad Nacional de Colombiarepositorio_nal@unal.edu.co
dc.title.spa.fl_str_mv Mandelbrot, Fama and the emergence of econophysics
title Mandelbrot, Fama and the emergence of econophysics
spellingShingle Mandelbrot, Fama and the emergence of econophysics
33 Economía / Economics
Efficient markets hypothesis
Mandelbrot
Fama
stable Lévy-Pareto distributions
Gaussian distribution
Kuhn
Lakatos
methodology
title_short Mandelbrot, Fama and the emergence of econophysics
title_full Mandelbrot, Fama and the emergence of econophysics
title_fullStr Mandelbrot, Fama and the emergence of econophysics
title_full_unstemmed Mandelbrot, Fama and the emergence of econophysics
title_sort Mandelbrot, Fama and the emergence of econophysics
dc.creator.fl_str_mv Salazar Trujillo, Boris
dc.contributor.author.spa.fl_str_mv Salazar Trujillo, Boris
dc.subject.ddc.spa.fl_str_mv 33 Economía / Economics
topic 33 Economía / Economics
Efficient markets hypothesis
Mandelbrot
Fama
stable Lévy-Pareto distributions
Gaussian distribution
Kuhn
Lakatos
methodology
dc.subject.proposal.spa.fl_str_mv Efficient markets hypothesis
Mandelbrot
Fama
stable Lévy-Pareto distributions
Gaussian distribution
Kuhn
Lakatos
methodology
description 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.
publishDate 2016
dc.date.issued.spa.fl_str_mv 2016-09-01
dc.date.accessioned.spa.fl_str_mv 2019-07-02T21:04:42Z
dc.date.available.spa.fl_str_mv 2019-07-02T21:04:42Z
dc.type.spa.fl_str_mv Artículo de revista
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dc.identifier.issn.spa.fl_str_mv ISSN: 2248-4337
dc.identifier.uri.none.fl_str_mv https://repositorio.unal.edu.co/handle/unal/62571
dc.identifier.eprints.spa.fl_str_mv http://bdigital.unal.edu.co/61730/
identifier_str_mv ISSN: 2248-4337
url https://repositorio.unal.edu.co/handle/unal/62571
http://bdigital.unal.edu.co/61730/
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.spa.fl_str_mv https://revistas.unal.edu.co/index.php/ceconomia/article/view/44320
dc.relation.ispartof.spa.fl_str_mv Universidad Nacional de Colombia Revistas electrónicas UN Cuadernos de Economía
Cuadernos de Economía
dc.relation.references.spa.fl_str_mv Salazar Trujillo, Boris (2016) Mandelbrot, Fama and the emergence of econophysics. Cuadernos de Economía, 35 (69). pp. 637-662. ISSN 2248-4337
dc.rights.spa.fl_str_mv Derechos reservados - Universidad Nacional de Colombia
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.license.spa.fl_str_mv Atribución-NoComercial 4.0 Internacional
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dc.rights.accessrights.spa.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv Atribución-NoComercial 4.0 Internacional
Derechos reservados - Universidad Nacional de Colombia
http://creativecommons.org/licenses/by-nc/4.0/
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.mimetype.spa.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias Económicas - Escuela de Economía
institution Universidad Nacional de Colombia
bitstream.url.fl_str_mv https://repositorio.unal.edu.co/bitstream/unal/62571/1/44320-288286-1-PB.pdf
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