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complyorexplain
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Re: sigma root (T-t)

October 20th, 2020, 8:29 pm

It's the translation from Cootner's 'Random Character of Stock Market Prices'.
Saying `original publication date' would have been too much of a clue ...
The font threw me. IIRC Bachelier was forgotten until Samuelson mentioned his work. 
 
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katastrofa
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Re: sigma root (T-t)

October 21st, 2020, 12:03 am

Bachelier must have been familiar with de Moivre work. The second was first to demonstrate how the sqrt(n) emerges in statistical trials (the rule close to scientists' hearts as it underlies virtually every law in classical physics and chemistry).
 
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Paul
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Re: sigma root (T-t)

October 21st, 2020, 12:25 am

The farce is strong in this thread.
 
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katastrofa
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Re: sigma root (T-t)

October 21st, 2020, 1:09 am

It's actually the least farcical proceeding around here, and you're trying to kill it.
 
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platinum
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Re: sigma root (T-t)

October 21st, 2020, 1:10 am

The farce is strong in this thread.
Or at least Commedia dell'arte?

An extensive literature review could be enlightening. 

Here's a small detail on the path from Bachelier to Samuelson:

"Although Bachelier’s work on random walks predated Einstein's celebrated study of Brownian motion by five years, the pioneering nature of his work was recognized only after several decades, first by Andrey Kolmogorov who pointed out his work to Paul Levy, then by Leonard Jimmie Savage who translated Bachelier's thesis to English and brought the work of Bachelier to the attention of Paul Samuelson." 

The original B. thesis - http://archive.numdam.org/article/ASENS ... __21_0.pdf
Last edited by platinum on October 22nd, 2020, 7:14 am, edited 1 time in total.
 
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Cuchulainn
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Re: sigma root (T-t)

October 21st, 2020, 9:17 am

Or these days, commedia delle maschere?
This thread is like a Wagner opera; exciting moments and boring half hours. Italian operas are no different.

www.youtube.com/watch?v=V92OBNsQgxU
 
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Alan
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Re: sigma root (T-t)

October 21st, 2020, 2:30 pm

The farce is strong in this thread.
Or at least Commedia dell'arte?

An extensive literature review could be enlightening. 

Here's a small detail on the path from Bachelier to Samuelson:

"Although Bachelor's work on random walks predated Einstein's celebrated study of Brownian motion by five years, the pioneering nature of his work was recognized only after several decades, first by Andrey Kolmogorov who pointed out his work to Paul Levy, then by Leonard Jimmie Savage who translated Bachelier's thesis to English and brought the work of Bachelier to the attention of Paul Samuelson." 

The original B. thesis - http://archive.numdam.org/article/ASENS ... __21_0.pdf

As Keynes almost said
Option traders who believe themselves to be quite exempt from any intellectual influence, are usually the slaves of some defunct physics student.
 
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platinum
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Re: sigma root (T-t)

October 21st, 2020, 3:17 pm

Dynamics like that are likely to change over time.

One of the most interesting things about JMK is the strong position he took during the negotiations of the Treaty of Versailles. If he had prevailed, it would have changed the course of history.

Not so relevant for this thread, but his reflections are here: The Economic Consequences of the Peace on Project Gutenberg.

Back to the BSE, plenty of work is on SSRN, though some of the classic papers are still log in only or paywalled due to the journals they were originally published in.
 
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Cuchulainn
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Re: sigma root (T-t)

October 21st, 2020, 3:27 pm

And slide rules. I liked slide rules. But I digress.
How to compute [$]\sqrt{T}[$] with two decimal places? Using only pencil and paper.
 
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Cuchulainn
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Re: sigma root (T-t)

October 21st, 2020, 3:53 pm

BTW did I get the correct answer with my PDE solution?
Not sure - there were many intermediate steps missing, and the proposition to be proved was not clear.
It's fairly run-of-the-mill calculus ... MFE students do it.
 
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bearish
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Re: sigma root (T-t)

October 21st, 2020, 7:16 pm

And slide rules. I liked slide rules. But I digress.
How to compute [$]\sqrt{T}[$] with two decimal places? Using only pencil and paper.

If [$] T=e^{10} [$] then I know a source!
 
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Cuchulainn
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Re: sigma root (T-t)

October 22nd, 2020, 10:54 am

And slide rules. I liked slide rules. But I digress.
How to compute [$]\sqrt{T}[$] with two decimal places? Using only pencil and paper.

If [$] T=e^{10} [$] then I know a source!
Alan has a solution for you when [$]T = e[$]. 

viewtopic.php?f=26&t=102423