Why have asset price properties changed so little in 200 years

Jean-Philippe Bouchaud () and Damien Challet
Additional contact information
Jean-Philippe Bouchaud: X - École polytechnique - IP Paris - Institut Polytechnique de Paris

Post-Print from HAL

Abstract: We first review empirical evidence that asset prices have had episodes of large fluctuations and been inefficient for at least 200 years. We briefly review recent theoretical results as well as the neurological basis of trend following and finally argue that these asset price properties can be attributed to two fundamental mechanisms that have not changed for many centuries: an innate preference for trend following and the collective tendency to exploit as much as possible detectable price arbitrage, which leads to destabilizing feedback loops.

Date: 2017-02-27
Note: View the original document on HAL open archive server: https://centralesupelec.hal.science/hal-01311113
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Econophysics and Sociophysics: Recent Progress and Future Directions, Springer, 2017, 978-3-319-47704-6

Downloads: (external link)
https://centralesupelec.hal.science/hal-01311113/document (application/pdf)

Related works:
Working Paper: Why have asset price properties changed so little in 200 years (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01311113

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().