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Louis Bachelier On the centenary of Théorie de la Spéculation

Author

Listed:
  • Jean-Michel Courtault

    (CEPN - Centre d'Economie de l'Université Paris Nord (ancienne affiliation) - UP13 - Université Paris 13 - CNRS - Centre National de la Recherche Scientifique)

  • Youri Kabanov
  • Bernard Bru

    (MAP5 - UMR 8145 - Mathématiques Appliquées Paris 5 - UPD5 - Université Paris Descartes - Paris 5 - INSMI-CNRS - Institut National des Sciences Mathématiques et de leurs Interactions - CNRS Mathématiques - CNRS - Centre National de la Recherche Scientifique)

  • 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.

Suggested Citation

  • Jean-Michel Courtault & Youri Kabanov & Bernard Bru & Pierre Crepel & Isabelle Lebon & Arnaud Le Marchand, 2000. "Louis Bachelier On the centenary of Théorie de la Spéculation," Post-Print halshs-00447592, HAL.
    • Handle: RePEc:hal:journl:halshs-00447592
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00447592
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    Cited by:

    1. Roza Galeeva & Ehud Ronn, 2022. "Oil futures volatility smiles in 2020: Why the bachelier smile is flatter," Review of Derivatives Research, Springer, vol. 25(2), pages 173-187, July.
    2. Svetlozar Rachev & Nancy Asare Nyarko & Blessing Omotade & Peter Yegon, 2023. "Bachelier's Market Model for ESG Asset Pricing," Papers 2306.04158, arXiv.org.
    3. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
    4. María Ramos, 2014. "Context fractal market price policy," Revista de Economía y Administración, Universidad Autónoma de Occidente, September.
    5. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
    6. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
    7. 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, vol. 12(2), pages 199-212, May.
    8. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
    9. Nancy Asare Nyarko & Bhathiya Divelgama & Jagdish Gnawali & Blessing Omotade & Svetlozar Rachev & Peter Yegon, 2023. "Exploring Dynamic Asset Pricing within Bachelier Market Model," Papers 2307.04059, arXiv.org.
    10. Brandouy, Olivier & Delahaye, Jean-Paul & Ma, Lin & Zenil, Hector, 2014. "Algorithmic complexity of financial motions," Research in International Business and Finance, Elsevier, vol. 30(C), pages 336-347.
    11. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2017. "Investment in capital markets," MPRA Paper 77414, University Library of Munich, Germany.
    12. de Area Leão Pereira, Eder Johnson & da Silva, Marcus Fernandes & Pereira, H.B.B., 2017. "Econophysics: Past and present," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 251-261.
    13. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
    14. Omar Rojas & Carlos Trejo-Pech, 2014. "Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets," Papers 1412.3126, arXiv.org.
    15. Helena NAFFA, 2009. "New thoughts on efficient markets," Proceedings of FIKUSZ '09, in: László Áron Kóczy (ed.),Proceedings of FIKUSZ '09, pages 139-145, Óbuda University, Keleti Faculty of Business and Management.
    16. Vitor H. Carvalho & Raquel M. Gaspar, 2021. "Relativistically into Finance," Working Papers REM 2021/0175, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    17. Jos'e Manuel Corcuera, 2021. "The Golden Age of the Mathematical Finance," Papers 2102.06693, arXiv.org, revised Mar 2021.
    18. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2016. "Forecast in Capital Markets," MPRA Paper 72286, University Library of Munich, Germany.
    19. Stergios B. Fotopoulos & Alex Paparas & Venkata K. Jandhyala, 2020. "Rejoinder to “Multivariate generalized hyperbolic laws for modeling financial log returns: Empirical and theoretical considerations”," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(5), pages 780-782, September.
    20. 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.
    21. Alan Kirman, 2010. "The Economic Crisis is a Crisis for Economic Theory ," CESifo Economic Studies, CESifo, vol. 56(4), pages 498-535, December.
    22. Vitor H. Carvalho & Raquel M. Gaspar, 2021. "Relativistic Option Pricing," IJFS, MDPI, vol. 9(2), pages 1-24, June.
    23. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    24. 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 flwp_70, Finance Lab, Insper Instituto de Ensino e Pesquisa.

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