Finance - Revision history

Admin at 10:35, 20 June 2021

2021-06-20T10:35:45Z

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 This '''stylized fact''', known as '''volatility clustering''', is one of several (see '''[C01]''') that have motivated the search for more realistic models for volatility dynamics.
 ==Buy low, sell high==
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 * '''[B00]''' Louis Jean-Baptiste Alphonse Bachelier. ''Th&eacute;orie de la sp&eacute;culation''. Annales Scientifiques de l'&Eacute;cole Normale Sup&eacute;rieure, '''1900''', 3, 21-86.
 * '''[BS73]''' Fischer Black and Myron Scholes. The Pricing of Options and Corporate Liabilities. ''Journal of Political Economy'', '''1973''', 81(3), 637-654.
 * '''[C01]''' Rama Cont. Empirical properties of asset returns: stylized facts and statistical issues. ''Quantitative Finance'', '''2001''', 1, 223-236.
@@ Line 93: / Line 111: @@
 * '''[M63]''' Benoit B. Mandelbrot. ''The variation of certain speculative prices.'' Journal of Business, '''1963''', XXXVI, 392-417.
 * '''[M15]''' Wesley Clair Mitchell. ''The Making and Using of Index Numbers: Introduction to Index Numbers and Wholesale Prices in the United States and Foreign Countries'', Bulletins of the U.S. Bureau of Labor Statistics, U.S. Bureau of Labor Statistics, '''1915''', 173.
 * '''[V88]''' Josseph de la Vega. ''Confusion de Confusiones: Dialogos Curiosos Entre un Philosopho agudo, un Mercaderdiscreto, y un Accionista erudito''. Amsterdam, '''1688'''.

Admin at 09:57, 20 June 2021

2021-06-20T09:57:52Z

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	The variance rate of the return on the stock is ''constant''.		The variance rate of the return on the stock is ''constant''.
	</blockquote>		</blockquote>

			As mentioned previously, some early evidence for time-varying volatility was provided by Mitchell in 1915 '''[M15]'''. See '''[H08]''' for details.

			In his 1962/3 article '''[M63]''', Benoit B. Mandelbrot (1924 – 2010) observed that
			<blockquote>
			...the movement of prices in periods of tranquillity seem to be smoother than predicted by my process. In other words, large changes tend to be followed by large changes — of either sign — and small changes tend to be followed by small changes...
			</blockquote>
			and quoted the earlier empirical observations by Mitchell '''[M15]''' and others.

			This '''stylized fact''', known as '''volatility clustering''', is one of several (see '''[C01]''') that have motivated the search for more realistic models for volatility dynamics.

	==Buy low, sell high==		==Buy low, sell high==
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	* '''[B00]''' Louis Jean-Baptiste Alphonse Bachelier. ''Théorie de la spéculation''. Annales Scientifiques de l'École Normale Supérieure, '''1900''', 3, 21-86.		* '''[B00]''' Louis Jean-Baptiste Alphonse Bachelier. ''Théorie de la spéculation''. Annales Scientifiques de l'École Normale Supérieure, '''1900''', 3, 21-86.
	* '''[BS73]''' Fischer Black and Myron Scholes. The Pricing of Options and Corporate Liabilities. ''Journal of Political Economy'', '''1973''', 81(3), 637-654.		* '''[BS73]''' Fischer Black and Myron Scholes. The Pricing of Options and Corporate Liabilities. ''Journal of Political Economy'', '''1973''', 81(3), 637-654.
			* '''[C01]''' Rama Cont. Empirical properties of asset returns: stylized facts and statistical issues. ''Quantitative Finance'', '''2001''', 1, 223-236.
	* '''[C92]''' George Crabb. ''English Synonymes Explained in Alphabetical Order.'' Harper & Brothers, Publishers, '''1892'''.		* '''[C92]''' George Crabb. ''English Synonymes Explained in Alphabetical Order.'' Harper & Brothers, Publishers, '''1892'''.
	* '''[G35]''' Harold M. Gartley. ''Profits in the Stock Market.'' Health Research Books, '''1935'''.		* '''[G35]''' Harold M. Gartley. ''Profits in the Stock Market.'' Health Research Books, '''1935'''.

Admin at 09:52, 20 June 2021

2021-06-20T09:52:05Z

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 In the context of financial markets, the term ''volatility'' reappears in 1935 in Harold M. Gartley's (1899 &ndash; 1972) early work '''[G35]''' on technical analysis.
 ==Buy low, sell high==
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 =Bibliography=
 * '''[C92]''' George Crabb. ''English Synonymes Explained in Alphabetical Order.'' Harper &amp; Brothers, Publishers, '''1892'''.
 * '''[G35]''' Harold M. Gartley. ''Profits in the Stock Market.'' Health Research Books, '''1935'''.

Admin at 09:40, 20 June 2021

2021-06-20T09:40:10Z

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	The earliest reference that we could find to the adage "buy low, sell high" in the literature was in the letter ''ON PRESERVING CORN IN GRANARIES'' written by a certain J. K. "To the Editor of the Commercial and Agricultural Magazine" for 1801, Vol. IV, from December to June, inclusive, printed and published by Vaughan Griffiths, Paternoster-Row:		The earliest reference that we could find to the adage "buy low, sell high" in the literature was in the letter ''ON PRESERVING CORN IN GRANARIES'' written by a certain J. K. "To the Editor of the Commercial and Agricultural Magazine" for 1801, Vol. IV, from December to June, inclusive, printed and published by Vaughan Griffiths, Paternoster-Row:
			<center>
			[[File:buying-low-and-selling-high.png]]
			</center>

	=Bibliography=		=Bibliography=

Admin at 09:38, 20 June 2021

2021-06-20T09:38:24Z

← Older revision		Revision as of 09:38, 20 June 2021
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	In the context of financial markets, the term ''volatility'' reappears in 1935 in Harold M. Gartley's (1899 – 1972) early work '''[G35]''' on technical analysis.		In the context of financial markets, the term ''volatility'' reappears in 1935 in Harold M. Gartley's (1899 – 1972) early work '''[G35]''' on technical analysis.

			==Buy low, sell high==

			Wiktionary refers to "buy low, sell high" as
			<blockquote>
			Commonplace investment advice, recommending that a prospective investor purchase an asset ''at a low cost'' and sell it later ''for a high price''.
			</blockquote>
			It adds:
			<blockquote>
			Often used in a humorous manner, since this advice is ''too trite and vague'' to be helpful in specific situations.
			</blockquote>

			Thales of Miletus (c. 626/623 BC – c. 548/545 BC) is probably the earliest adopeter of this advice. According to Aristotle, ''Politics'' 1.1259a,
			<blockquote>
			Thales, so the story goes, because of his poverty was taunted with the uselessness of philosophy; but from his knowledge of astronomy he had observed while it was still winter that there was going to be a large crop of olives, so he raised a small sum of money and paid round deposits for the whole of the olive-presses in Miletus and Chios, which he hired at a ''low rent'' as nobody was running him up; and when the season arrived, there was a sudden demand for a number of presses at the same time, and by letting them out ''on what terms he liked'' he realized a large sum of money, so proving that it is easy for philosophers to be rich if they choose, but this is not what they care about.
			</blockquote>
			Although, ''ibid.'', Aristotle draws a different conclusion from this story:
			<blockquote>
			Thales then is reported to have thus displayed his wisdom, but as a matter of fact this device of ''taking an opportunity to secure a monopoly'' is a universal principle of business; hence even some states have recourse to this plan as a method of raising revenue when short of funds: they introduce a monopoly of marketable goods.
			</blockquote>

			The earliest reference that we could find to the adage "buy low, sell high" in the literature was in the letter ''ON PRESERVING CORN IN GRANARIES'' written by a certain J. K. "To the Editor of the Commercial and Agricultural Magazine" for 1801, Vol. IV, from December to June, inclusive, printed and published by Vaughan Griffiths, Paternoster-Row:

	=Bibliography=		=Bibliography=

Admin at 09:26, 20 June 2021

2021-06-20T09:26:57Z

← Older revision		Revision as of 09:26, 20 June 2021
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	=The origins=		=History=

			==The origins==

	[[File:JoseDelaVega.jpg\|thumb\|Idealized portrait, artist unknown]] Josseph de la Vega's (ca. 1650 – Amsterdam, November 13, 1692) ''Confusion de Confusiones'' '''[V88]''' was published in 1688. It is the oldest book ever written about stock exchanges. It predates Saeed Amen's ''Trading Thalesians'' by 326 years!		[[File:JoseDelaVega.jpg\|thumb\|Idealized portrait, artist unknown]] Josseph de la Vega's (ca. 1650 – Amsterdam, November 13, 1692) ''Confusion de Confusiones'' '''[V88]''' was published in 1688. It is the oldest book ever written about stock exchanges. It predates Saeed Amen's ''Trading Thalesians'' by 326 years!
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	</blockquote>		</blockquote>

	=Volatility=		==Volatility==

	The term '''volatility''' is a relatively recent arrival. It originates from the Latin word ''volatilitas'' — "readiness to fly swiftly on" (from ''volo'', "to fly") '''[C92]'''.		The term '''volatility''' is a relatively recent arrival. It originates from the Latin word ''volatilitas'' — "readiness to fly swiftly on" (from ''volo'', "to fly") '''[C92]'''.

Admin at 09:26, 20 June 2021

2021-06-20T09:26:10Z

← Older revision		Revision as of 09:26, 20 June 2021
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	=The origins=		=The origins=

	[[File:JoseDelaVega.jpg\|thumb\|Idealized portrait, artist unknown]] Josseph de la Vega's (ca. 1650 – Amsterdam, November 13, 1692) ''Confusion de Confusiones'' was published in 1688. It is the oldest book ever written about stock exchanges. It predates Saeed Amen's ''Trading Thalesians'' by 326 years!		[[File:JoseDelaVega.jpg\|thumb\|Idealized portrait, artist unknown]] Josseph de la Vega's (ca. 1650 – Amsterdam, November 13, 1692) ''Confusion de Confusiones'' '''[V88]''' was published in 1688. It is the oldest book ever written about stock exchanges. It predates Saeed Amen's ''Trading Thalesians'' by 326 years!

	Written in Spanish by a member of the Sephardi community of Amsterdam in the form of four dialogues between a philosopher, a merchant, and a shareholder, it focusses on the activities of the Amsterdam bourse in the second half of the 17th century.		Written in Spanish by a member of the Sephardi community of Amsterdam in the form of four dialogues between a philosopher, a merchant, and a shareholder, it focusses on the activities of the Amsterdam bourse in the second half of the 17th century.
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	The term '''volatility''' is a relatively recent arrival. It originates from the Latin word ''volatilitas'' — "readiness to fly swiftly on" (from ''volo'', "to fly") '''[C92]'''.		The term '''volatility''' is a relatively recent arrival. It originates from the Latin word ''volatilitas'' — "readiness to fly swiftly on" (from ''volo'', "to fly") '''[C92]'''.

	We find an unflattering passage describing Louis Napoléon Bonaparte (1808 – 1873) in an 1863 journal		We find an unflattering passage describing Louis Napoléon Bonaparte (1808 – 1873) in an 1863 journal '''[K63]'''
			<blockquote>
			He was a buyer and seller of those fractional and ''volatile'' interests in trading adventures, which go by the name of "Shares," and since it has chanced that the nature of some of his transactions has been brought to light by the public tribunals, it is probable that the kind of repute in which he is held may be owing in part to those disclosures.
			</blockquote>

			In 1915, Wesley Clair Mitchell (1874 – 1948) studied what he referred to as ''fluctuations'' in commodity prices '''[M15]'''. He was the first person '''[M63, H08]''' to empirically show the existence of fat-tailed distributions and time-varying volatility in price data.

			In the context of financial markets, the term ''volatility'' reappears in 1935 in Harold M. Gartley's (1899 – 1972) early work '''[G35]''' on technical analysis.

	=Bibliography=		=Bibliography=

	* '''[C92]''' George Crabb. ''English Synonymes Explained in Alphabetical Order.'' Harper & Brothers, Publishers, 1892.		* '''[C92]''' George Crabb. ''English Synonymes Explained in Alphabetical Order.'' Harper & Brothers, Publishers, '''1892'''.
	* '''[K63]''' Alexander William Kinglake. ~~Louis Napoleon~~		* '''[G35]''' Harold M. Gartley. ''Profits in the Stock Market.'' Health Research Books, '''1935'''.
			* '''[H08]''' Espen Gaarder Haug. ''Derivatives: Models on Models.'' Wiley, '''2008'''.
			* '''[K63]''' Alexander William Kinglake. Napoléon Bonaparte. ''The Living Age'', April '''1863''', 983.
			* '''[M63]''' Benoit B. Mandelbrot. ''The variation of certain speculative prices.'' Journal of Business, '''1963''', XXXVI, 392-417.
			* '''[M15]''' Wesley Clair Mitchell. ''The Making and Using of Index Numbers: Introduction to Index Numbers and Wholesale Prices in the United States and Foreign Countries'', Bulletins of the U.S. Bureau of Labor Statistics, U.S. Bureau of Labor Statistics, '''1915''', 173.
			* '''[V88]''' Josseph de la Vega. ''Confusion de Confusiones: Dialogos Curiosos Entre un Philosopho agudo, un Mercaderdiscreto, y un Accionista erudito''. Amsterdam, '''1688'''.

Admin at 09:12, 20 June 2021

2021-06-20T09:12:48Z

← Older revision		Revision as of 09:12, 20 June 2021
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	The ''expectation of an event'' creates a much deeper impression upon the exchange than the event itself. When large dividends or rich imports are expected, shares will rise in price; but if the expectation becomes a reality, the shares often fall; for the joy over the favourable development and the jubilation over a lucky chance have abated in the meantime.		The ''expectation of an event'' creates a much deeper impression upon the exchange than the event itself. When large dividends or rich imports are expected, shares will rise in price; but if the expectation becomes a reality, the shares often fall; for the joy over the favourable development and the jubilation over a lucky chance have abated in the meantime.
	</blockquote>		</blockquote>

			=Volatility=

			The term '''volatility''' is a relatively recent arrival. It originates from the Latin word ''volatilitas'' — "readiness to fly swiftly on" (from ''volo'', "to fly") '''[C92]'''.

			We find an unflattering passage describing Louis Napoléon Bonaparte (1808 – 1873) in an 1863 journal

			=Bibliography=

			* '''[C92]''' George Crabb. ''English Synonymes Explained in Alphabetical Order.'' Harper & Brothers, Publishers, 1892.
			* '''[K63]''' Alexander William Kinglake. Louis Napoleon

Admin at 09:04, 20 June 2021

2021-06-20T09:04:29Z

← Older revision		Revision as of 09:04, 20 June 2021
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	=The origins=		=The origins=

	Josseph de la Vega's (ca. 1650 – Amsterdam, November 13, 1692) ''Confusion de Confusiones'' was published in 1688. It is the oldest book ever written about stock exchanges. It predates Saeed Amen's ''Trading Thalesians'' by 326 years!		[[File:JoseDelaVega.jpg\|thumb\|Idealized portrait, artist unknown]] Josseph de la Vega's (ca. 1650 – Amsterdam, November 13, 1692) ''Confusion de Confusiones'' was published in 1688. It is the oldest book ever written about stock exchanges. It predates Saeed Amen's ''Trading Thalesians'' by 326 years!

	Written in Spanish by a member of the Sephardi community of Amsterdam in the form of four dialogues between a philosopher, a merchant, and a shareholder, it focusses on the activities of the Amsterdam bourse in the second half of the 17th century.		Written in Spanish by a member of the Sephardi community of Amsterdam in the form of four dialogues between a philosopher, a merchant, and a shareholder, it focusses on the activities of the Amsterdam bourse in the second half of the 17th century.

Admin at 09:01, 20 June 2021

2021-06-20T09:01:54Z

← Older revision		Revision as of 09:01, 20 June 2021
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	=The ~~(distant) past~~=		=The origins=

	Josseph de la Vega's (ca. 1650 – Amsterdam, November 13, 1692) ''Confusion de Confusiones'' was published in 1688. It is the oldest book ever written about stock exchanges. It predates Saeed Amen's ''Trading Thalesians'' by 326 years!		Josseph de la Vega's (ca. 1650 – Amsterdam, November 13, 1692) ''Confusion de Confusiones'' was published in 1688. It is the oldest book ever written about stock exchanges. It predates Saeed Amen's ''Trading Thalesians'' by 326 years!