Abstract

SALAZAR, Boris. MANDELBROT, FAMA AND THE EMERGENCE OF ECONOPHYSICS. Cuad. Econ. [online]. 2016, vol.35, n.69, pp.637-662.  Epub July 10, 2016. ISSN 0121-4772.  https://doi.org/10.15446/cuad.econ.v35n69.44320.

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.

JEL: B30, B40, G14.

Keywords : Efficient markets hypothesis; Mandelbrot; Fama; stable Lévy-Pareto distributions; Gaussian distribution; Kuhn; Lakatos; methodology.

        · abstract in Spanish | French | Portuguese     · text in English     · English ( pdf )