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Does God practice a random walk? The 'financial physics' of a nineteenth-century forerunner, Jules Regnault

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  • Franck Jovanovic
  • Philippe Le Gall

Abstract

We analyse the work of a neglected French economist, Jules Regnault, whose Calcul des Chances et Philosophie de la Bourse (1863) laid the basis of modern stochastic models of price behaviour and contains an anticipation of econometrics. At a time when short-term speculation was denounced as immoral, he approached this question 'scientifically' and constructed two models. The first one was relative to short-term speculation and took the shape of a random walk - a model used by Bachelier (1900). The second one deals with long-term speculation and aims at evaluating the mean value of the French 3 per cent bond.

Suggested Citation

  • Franck Jovanovic & Philippe Le Gall, 2001. "Does God practice a random walk? The 'financial physics' of a nineteenth-century forerunner, Jules Regnault," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 8(3), pages 332-362.
    • Handle: RePEc:taf:eujhet:v:8:y:2001:i:3:p:332-362
    DOI: 10.1080/09672560110062960
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    References listed on IDEAS

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    1. Hendry,David F. & Morgan,Mary S., 1997. "The Foundations of Econometric Analysis," Cambridge Books, Cambridge University Press, number 9780521588706, October.
    2. repec:ucp:bkecon:9780226199993 is not listed on IDEAS
    3. repec:cdl:ucsbec:13-89 is not listed on IDEAS
    4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    5. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
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    1. Turner, Paul & Wood, Justine, 2020. "New Perspectives On Henry Ludwell Moore’S Use Of Harmonic Analysis," Journal of the History of Economic Thought, Cambridge University Press, vol. 42(4), pages 507-520, December.
    2. SENARATHNE W Chamil & JIANGUO Wei, 2018. "Do Investors Mimic Trading Strategies Of Foreign Investors Or The Market: Implications For Capital Asset Pricing," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 13(3), pages 171-205, December.
    3. Natália Costa & César Silva & Paulo Ferreira, 2019. "Long-Range Behaviour and Correlation in DFA and DCCA Analysis of Cryptocurrencies," IJFS, MDPI, vol. 7(3), pages 1-12, September.
    4. Siebe, Wilfried & Milde, Hellmuth & Broll, Udo & Bieta, Volker, 2007. "The New Basel Accord and the Nature of Risk: A Game Theoretic Perspective," Dresden Discussion Paper Series in Economics 07/07, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.

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