Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
Phoebe Koundouri (),
Nikolaos Kourogenis () and
Nikitas Pittis ()
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Nikitas Pittis: University of Piraeus, Greece
No 1331, DEOS Working Papers from Athens University of Economics and Business
The purpose of this paper is twofold: ?rst, to survey the statistical models of stock returns that have been suggested in the ?nance literature since the beginning of the twentieth century; second, to examine under the prism of the contemporary philosophy of science, which of the aforementioned models can be classified as explanatory and which as descriptive. Special emphasis is paid on tracing the interactions between the motivation for the birth of statistical models of stock returns in any given historical period and the concurrent changes of the theoretical paradigm in financial economics, as well as those of probability theory.
Keywords: Stock Returns; Statistical Model; Explanatory Model; Scientific Explanation; Market Efficiency; Brownian Motion. (search for similar items in EconPapers)
JEL-codes: C58 C51 G17 (search for similar items in EconPapers)
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http://wpa.deos.aueb.gr/docs/Statistical.Modeling.of.Stock.Returns.pdf First version (application/pdf)
Journal Article: STATISTICAL MODELING OF STOCK RETURNS: EXPLANATORY OR DESCRIPTIVE? A HISTORICAL SURVEY WITH SOME METHODOLOGICAL REFLECTIONS (2016)
Working Paper: Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections (2016)
Working Paper: Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections (2014)
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