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Les origines du modèle de marche au hasard en finance

Christian Walter 1
1 Histoire et épistémologie de la finance
Histoire et épistémologie de la finance
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.
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Submitted on : Monday, June 3, 2013 - 10:33:54 AM
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Christian Walter. Les origines du modèle de marche au hasard en finance. 2013. ⟨halshs-00828289⟩

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