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Les origines du modèle de marche au hasard en finance

Author

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  • Christian Walter

    (Histoire et épistémologie de la finance - Histoire et épistémologie de la finance - FMSH - Fondation Maison des sciences de l'homme)

Abstract

Three main concerns pave the way for the birth of the random walk model in financial theory: an ethical issue with Jules Regnault (1834-1894), a scientific issue with Louis Bachelier (1870-1946) and a pratical issue with Alfred Cowles (1891-1984). Three topics arise with these concerns: the morality of stock market (Regnault), the scientificity of stock market (Bachelier), the practicality of stock market (Cowles). Three demarcation criteria follow these argumentations: an ethical criterion (Regnault), a scientificity criterion (Bachelier), an efficiency criterion (Cowles). The random walk model in finance seems fulfil these goals: to separate the good from the bad speculation, to put the Government bonds variations inside mathematical model, to distinguish between skill and luck of professional fund managers.

Suggested Citation

  • Christian Walter, 2013. "Les origines du modèle de marche au hasard en finance," Working Papers halshs-00828289, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00828289
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00828289
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    Cited by:

    1. Christian Walter, 2020. "Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections," Sustainability, MDPI, vol. 12(18), pages 1-28, September.
    2. Walter, Christian, 2016. "The financial Logos: The framing of financial decision-making by mathematical modelling," Research in International Business and Finance, Elsevier, vol. 37(C), pages 597-604.

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