Scientific humanities

You will find on this page the LINKS with my non-actuarial works : the history of financial thought and the epistemology of financial modelling.


FONDATION MAISON DES SCIENCES DE L’HOMME


This part of my works has been developing for almost twenty years at the Fondation Maison des sciences de l’homme (FMSH), in the context of the research program ‘History and epistemology of finance’ launched in 1997 with the strong support of Maurice Aymard, a former administrator of the FMSH.

The reason of developing this research in the shell of the FMSH – and now with the Ethics and Finance chair of the Collège d’études mondiales – is definitely given in the recent text presentation of the College (here): the need of thinking globally with transdisciplinarity. The FMSH and the Collège d’études mondiales today, Michel Wieviorka being administrator, strongly support these works.

The topics cover :

  1. History of financial thought
  2. Epistemology of financial modelling

HISTORY OF FINANCIAL THOUGHT


My works in the history of financial thought address the efficient market concept and the stochastic models in the context of their interplay with the financial industry. These historical investigations are undertaken as an actuary, based on my actuarial experience in the industry.

After a decade of research papers (1996-2005), my book of 2013 Le modèle de marche au hasard en finance [The random walk model in finance (1863-2010)] provides a comprehensive history of the random walk model (1863-2010), build upon some of the articles published during my research.


EPISTEMOLOGY OF FINANCIAL MODELLING


My works in the epistemology of financial modelling aim to solve some puzzles of the financial research and industry. I investigated specific epistemological issues and coined new concepts to explain these puzzles :

  1. Martingalization (2006)
  2. Brownian virus (2008)
  3. Financial Logos (2016)
  4. Second quantification (2015)

HISTORY OF FINANCIAL THOUGHT
LIST OF PUBLICATIONS WITH LINKS


1996, « Une histoire du concept d’efficience sur les marchés financiers [An history of the efficient market concept in the financial industry]», Annales. Histoire Sciences Sociales, 51 (4), 873-905. DOI : 10.3406/ahess.1996.410892

1999, « Aux origines de la mesure de performance des fonds d’investissement : les travaux d’Alfred Cowles [The origins of performance measurement for the investment management industry: Alfred Cowles’ works]», Histoire et Mesure, 14 (1-2), 163-197. DOI : 10.3406/hism.1999.1506

2000, « The Efficient Market Hypothesis, the Gaussian Assumption, and the Investment Management Industry », EFMA 2001 Lugano Meetings. DOI : dx.doi.org/10.2139/ssrn.267443.
Published in 2002 as « From Bachelier’s Dissertation to Portfolio Management Industry: One aspect of the Bachelier Heritage in Finance », in Jean-Michel Courtault et Youri Kabanov (eds.), Louis Bachelier. Aux origines de la finance mathématique, Besançon, Presses universitaires Franc-comtoises, 111-63.

2001, « Les échelles de temps sur les marchés financiers [The time scales about the financial markets]», Revue de Synthèse, 122 (1), 55-69. DOI : 10.1007/BF02990501

2002, « La recherche de lois d’échelles sur les variations boursières [Searching for scaling laws in distributional properties of price variations: a review over 40 years] », in Patrice Abry, Paulo Gonçalvés et Jacques Lévy Véhel (eds.), Lois d’échelle, fractales et ondelettes, Paris, Hermès, 243-72. Translated in English in « Research of scaling laws on stock market variations », in Scaling, Fractals and Wavelets, London, Wiley, 437-464.

2004, « Le modèle linéaire dans la gestion des portefeuilles : une perspective historique [The linear model in the asset management industry: an historical overview]», Cahiers du centre d’analyse et de mathématiques sociales, n° 242, série « Histoire du calcul des probabilités et de la statistique » n°65.

2005, « 1900-2000 : un siècle de processus de Lévy en finance [1900-2000: one century of Lévy processes in finance]», in Guy Bensimon (eds.), Histoire des représentations du marché, Paris, Michel Houdiard, p. 553-88.

2005, « Les quatre causes de l’efficacité informationnelle des marchés [The four causes of the informational market efficiency] », Finance & bien commun / Finance & common good, 23 (3), 107-115. DOI : 10.3917/fbc.023.0107

2005, « La gestion indicielle et la théorie des moyennes [The index-linked asset management and the mean theory] », Revue d’économie financière, 79 (2), 113-36. DOI : 10.3406/ecofi.2005.3974

2006, « Les martingales sur les marchés financiers. Une convention stochastique ? [The martingale models in the financial industry. A stochastic convention?] » Revue de synthèse, 127 (2), p. 379-391. DOI : 10.1007/BF02972107

2009, « Un bertillonage des gérants de portefeuille? Une réflexion sur la théorie des styles de gestion » in Carlos Pardo (dir.), Gestion d’actifs. Réflexions sur le benchmark, Paris, Association française de la gestion financière, p. 99-117 (avec Éric Brian).