Why have asset price properties changed so little in 200 years

Jean-Philippe Bouchaud 1 Damien Challet 2
1 X - École polytechnique
2 MICS - Mathématiques et Informatique pour la Complexité et les Systèmes
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.
Type de document :
Chapitre d'ouvrage
Econophysics and Sociophysics: Recent Progress and Future Directions, Springer, 2017, 978-3-319-47704-6. 〈10.1007/978-3-319-47705-3〉
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https://hal-centralesupelec.archives-ouvertes.fr/hal-01311113
Contributeur : Damien Challet <>
Soumis le : mardi 3 mai 2016 - 16:56:07
Dernière modification le : vendredi 6 juillet 2018 - 12:31:48

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CENTRALESUPELEC | MICS | UNIV-PARIS-SACLAY | X | PARISTECH | CHAIRE-FIQUANT

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Jean-Philippe Bouchaud, Damien Challet. Why have asset price properties changed so little in 200 years . Econophysics and Sociophysics: Recent Progress and Future Directions, Springer, 2017, 978-3-319-47704-6. 〈10.1007/978-3-319-47705-3〉. 〈hal-01311113〉

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