Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections
Phoebe Koundouri (),
Nikolaos Kourogenis and
LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library
The purpose of this paper is twofold: first, to survey the statistical models of stock returns that have been suggested in the finance literature since the middle 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: C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his
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Published in Journal of Economic Surveys, 1, February, 2016, 30(1), pp. 149-164. ISSN: 0950-0804
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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 or Descriptive? A Historical Survey with Some Methodological Reflections (2014)
Working Paper: Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:65549
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