Does God practice a random walk? The 'financial physics' of a nineteenth-century forerunner, Jules Regnault

Franck Jovanovic and Philippe Le Gall

The European Journal of the History of Economic Thought, 2001, vol. 8, issue 3, 332-362

Abstract: We analyse the work of a neglected French economist, Jules Regnault, whose Calcul des Chances et Philosophie de la Bourse (1863) laid the basis of modern stochastic models of price behaviour and contains an anticipation of econometrics. At a time when short-term speculation was denounced as immoral, he approached this question 'scientifically' and constructed two models. The first one was relative to short-term speculation and took the shape of a random walk - a model used by Bachelier (1900). The second one deals with long-term speculation and aims at evaluating the mean value of the French 3 per cent bond.

Keywords: Random Walk History Of Economic Thought Econometrics Financial Theory (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1080/09672560110062960

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