Publicado

2016-09-01

Mandelbrot, Fama and the emergence of econophysics

Mandelbrot, Fama y el surgimiento de la econofísica

Mandelbrot, Fama e o surgimento da econofísica

Palabras clave:

Efficient markets hypothesis, Mandelbrot, Fama, stable Lévy-Pareto distributions, Gaussian distribution, Kuhn, Lakatos, methodology (en)
hipótesis de mercados eficientes, Mandelbrot, Fama, distribuciones Lévy-Pareto estables, distribución Gaussiana, Kuhn, Lakatos, metodología (es)
Hipóteses de mercados eficientes, Mandelbrot, Fama, distribuições Lévy-Pareto estáveis, distribuição Gaussiana, Kuhn, Lakatos, metodologia (pt)

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Autores/as

  • Boris Salazar Trujillo Universidad del Valle
It is argued that Mandelbrot's stable Lévy-Pareto distributions were not accepted into the emerging field of financial economics due to their incompatibility with the analytical techniques and properties of equilibrium economics, and to the absence -both in physics and in economics- of analytical solutions to the infinite variance associated with those distributions. Whilst physicists made stable Lévy distributions plausible, creating Econophysics in the meantime, economists just forgot about them, suggesting their strong bias towards desirable properties and against established facts.

Se argumenta que las distribuciones Lévy-Pareto estables de Mandelbrot no se aceptaron en el campo emergente de la economía financiera debido a su incompatibilidad con las técnicas y propiedades analíticas de la economía de equilibrio, y a la ausencia -tanto en la física como en la economía- de soluciones analíticas para la varianza infinita asociada con aquellas distribuciones. Si bien los físicos hicieron posibles las distribuciones Lévy estables, creando entretanto la econofísica, los economistas simplemente las olvidaron, sugiriendo su fuerte sesgo hacia las propiedades deseables y en contra de los hechos establecidos.

Argumenta-se que as distribuições Lévy-Pareto estáveis de Mandelbrot não foram aceitas no campo emergente da economia financeira devido à sua incompatibilidade com as técnicas e propriedades analíticas da economia de equilíbrio, e à ausência, tanto na física quanto na economia, de soluções analíticas para a variância infinita associada àquelas distribuições. Embora os físicos tornaram possíveis as distribuições Lévy estáveis, criando, entretanto, a econofísica, os economistas simplesmente as esqueceram, sugerindo sua forte tendência para as propriedades desejáveis e contra dois fatos estabelecidos.

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