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Bachelier and his times: A conversation with Bernard Bru

Author

Listed:
  • Murad S. Taqqu

    (Boston University, Department of Mathematics, 111 Cummington Street, Boston, MA 02215-2411, USA Manuscript)

Abstract

Louis Bachelier defended his thesis "Theory of Speculation" in 1900. He used Brownian motion as a model for stock exchange performance. This conversation with Bernard Bru illustrates the scientific climate of his times and the conditions under which Bachelier made his discoveries. It indicates that Bachelier was indeed the right person at the right time. He was involved with the Paris stock exchange, was self-taught but also took courses in probability and on the theory of heat. Not being a part of the "scientific establishment," he had the opportunity to develop an area that was not of interest to the mathematicians of the period. He was the first to apply the trajectories of Brownian motion, and his theories prefigure modern mathematical finance. What follows is an edited and expanded version of the original conversation with Bernard Bru. Bernard Bru is the author, most recently, of Borel, LÊvy, Neyman, Pearson et les autres. He is a professor at the University of Paris V where he teaches mathematics and statistics. With Marc Barbut and Ernest Coumet, he founded the seminars on the history of Probability at the EHESS (êcole des Hautes êtudes en Sciences Sociales), which bring together researchers in mathematics, philosophy and the humanities.

Suggested Citation

  • Murad S. Taqqu, 2001. "Bachelier and his times: A conversation with Bernard Bru," Finance and Stochastics, Springer, vol. 5(1), pages 3-32.
    • Handle: RePEc:spr:finsto:v:5:y:2001:i:1:p:3-32
    Note: received: August 2000; final version received: October 2000
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    Citations

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    Cited by:

    1. Robert C. Merton, 2006. "Paul Samuelson and Financial Economics," The American Economist, Sage Publications, vol. 50(2), pages 9-31, October.
    2. Stergios B. Fotopoulos & Alex Paparas & Venkata K. Jandhyala, 2020. "Rejoinder to “Multivariate generalized hyperbolic laws for modeling financial log returns: Empirical and theoretical considerations”," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(5), pages 780-782, September.
    3. Jovanovic, Franck & Mantegna, Rosario N. & Schinckus, Christophe, 2019. "When financial economics influences physics: The role of Econophysics," International Review of Financial Analysis, Elsevier, vol. 65(C).
    4. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, September.
    5. Daniel Alpay & Palle Jorgensen, 2022. "mu-Brownian Motion, Dualities, Diffusions, Transforms, and Reproducing Kernel Hilbert Spaces," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2757-2783, December.
    6. Glazyrina, Anna & Melnikov, Alexander, 2020. "Bachelier model with stopping time and its insurance application," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 156-167.
    7. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
    8. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
    9. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
    10. Zimmermann, Heinz & Hafner, Wolfgang, 2007. "Amazing discovery: Vincenz Bronzin's option pricing models," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 531-546, February.
    11. Alexander Melnikov & Hongxi Wan, 2021. "On modifications of the Bachelier model," Annals of Finance, Springer, vol. 17(2), pages 187-214, June.
    12. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2013. "Minimal spanning tree problem in stock networks analysis: An efficient algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2226-2234.
    13. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    14. Juho Kanniainen, 2009. "Can properly discounted projects follow geometric Brownian motion?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 435-450, December.

    More about this item

    Keywords

    Louis Bachelier;

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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