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Louis Bachelier On the centenary of Théorie de la Spéculation

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Author Info

  • Jean-Michel Courtault

    ()
    (CEPN - Centre d'économie de l'Université de Paris Nord - CNRS : UMR7115 - Université Paris-Nord - Paris XIII)

  • Youri Kabanov

    ()

  • Bernard Bru

    (MAP5 - Mathématiques appliquées Paris 5 - CNRS : UMR8145 - Université Paris Descartes)

  • Pierre Crepel
  • Isabelle Lebon
  • Arnaud Le Marchand

Abstract

Written on the occasion of the centenary of Louis Bachelier's 1900 PhD thesis “Théorie de la spéculation”, this paper puts Bachelier into a historical perspective. It explains his role as a pioneer in both mathematical finance and probability theory, and it also gives a careful account of Bachelier's difficult personal and scientific career. This includes a discussion of Poincaré's report on the PhD thesis (the report itself with an English translation is reproduced in the appendix), and an explanation for the controversy between Bachelier's work and Paul L´evy's reports on it. The paper also contains a curriculum vitae and a list of the publications of Bachelier is made available.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00447592.

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Date of creation: 01 Jul 2000
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Publication status: Published, Mathematical Finance, 2000, 10, 3, 339-353
Handle: RePEc:hal:journl:halshs-00447592

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00447592/en/
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Keywords: Louis Bachelier; Biography; History of sciences;

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Cited by:
  1. Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina, 2012. "Stochastic volatility models including open, close, high and low prices," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(2), pages 199-212, May.
  2. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
  3. Omay, Nazli C. & Karadagli, Ece C., 2010. "Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach," MPRA Paper 27312, University Library of Munich, Germany.
  4. Olivier Brandouy & Jean-Paul Delahaye & Lin Ma & Hector Zenil, 2012. "Algorithmic Complexity of Financial Motions," ASSRU Discussion Papers, ASSRU - Algorithmic Social Science Research Unit 1204, ASSRU - Algorithmic Social Science Research Unit.
  5. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics: empirical facts," Post-Print, HAL hal-00621058, HAL.
  6. Alan Kirman, 2010. "The Economic Crisis is a Crisis for Economic Theory ," CESifo Economic Studies, CESifo, CESifo, vol. 56(4), pages 498-535, December.
  7. Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_70, Finance Lab, Insper Instituto de Ensino e Pesquisa.

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