Mandelbrot, Fama and the emergence of econophysics
Year: 2016
Type: article
Abstract: 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.
Source: Cuadernos de Economía
Author: Boris Salazar Trujillo
Institution: Universidad del Valle
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2390936812