emiliano ippoliti introduzione stage "finanza, matematica e filosofia"
TRANSCRIPT
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Workshop 2013-14Workshop 2013-14Finance, Mathematics and PhilosophyFinance, Mathematics and PhilosophyEmiliano Ippoliti – Sapienza Università di RomaEmiliano Ippoliti – Sapienza Università di [email protected]@gmail.com
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[1. finance]
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Pi (π) (1998, 85 min) written and directed by Darren Aronofsky
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connection
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finance
mathematics
philosophy
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- If, what, and how mathematics can be used to model financial dynamics
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-what are the features of
financial dynamics
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-impact of philosophy (method, description, hypotheses) on finance
and its mathematical modelling.
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stock markets ?
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transfer of money
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information
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connects economy and prices
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several ways of connecting
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along two dimensions
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1.
what can be considered as
a piece of information
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2.
how info is processed and evaluated
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1.
polarity exogenous /endogenous
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exogenous
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data about economy
(from outside the markets)
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determine prices and their variations
(see EMH)
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endogenous
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Limitless (2011, 105 min directed by Neil Burger)
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Eddie: Well, it's a formula|with a complex method.
But, of course, research was|a component. Massive research.
I knew every helix of every scrap of DNA|in every company I bought.
Papers stacked like the Himalayas|in my office, and you know what?
Phil: The stocks went up.
E.: By a hair.
E.: Sure, the stocks rose, but who wants to do all that work for a shitty little uptake?
It's not the visceral kind of spike|you want in short term holdings so...
I dispensed with all the hard statistics and I went right to the rumor mill.
P.: So you bought your stocks based on what?The tom-toms beating in the street?
E.: Sure. Share prices aren't really|based on how a company works.
It's about|how mass psychology works.
So, if I found certain algorithms|in the perception of the stock...
P.: Pattern recognition.|That's your snake oil.
E.: Well, not everybody|understands the patterns.
And that gave me a little bit more of|an uptake, but it's just a parlor trick.
So then, I went on|to door number three.
P.: Are you really implying that you have|some sort of ultimate formula?
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reactions about past prices’ variations
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reactions about reactions
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fractal account ( RMH)
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2.
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rationality
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speed
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efficiency
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[2. price behaviours]
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Nanex
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2010 Flash crash
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boom and bust (bubbles)
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qualitative side
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quantative side
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[3. logic]
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[4. rules of the stage]