Bachelier (1914) and Mandelbrot (1963): The Issue of Fat Tails
Benoît Mandelbrot’s argument in 1963 and later for the prevalence of fat-tailed distributions (“wild randomness”) was presented as a challenge to Louis Bachelier’s 1900 model of asset price movements as Brownian motion in efficient markets. There was, however, another side to Bachelier’s contributio...
Tallennettuna:
| Päätekijä: | |
|---|---|
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
Association Œconomia
2026
|
| Aiheet: | |
| Linkit: | https://doi.org/10.4000/169qr https://hdl.handle.net/20.500.13089/169qr https://journals.openedition.org/oeconomia/19926 |
| Tagit: |
Ei tageja, Lisää ensimmäinen tagi!
|