Emiliano Ippoliti Introduzione Stage "Finanza, Matematica e Filosofia"

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Information about Emiliano Ippoliti Introduzione Stage "Finanza, Matematica e Filosofia"
Finance

Published on February 7, 2014

Author: ippo441

Source: slideshare.net

Workshop 2013-14 Finance, Mathematics and Philosophy Emiliano Ippoliti – Sapienza Università di Roma emi.ippoliti@gmail.com

[1. finance]

Pi (π) (1998, 85 min) written and directed by Darren Aronofsky

connection

finance mathematics philosophy

- If, what, and how mathematics can be used to model financial dynamics

-what are the features of financial dynamics

-impact of philosophy (method, description, hypotheses) on finance and its mathematical modelling.

stock markets ?

transfer of money

information

connects economy and prices

several ways of connecting

along two dimensions

1. what can be considered as a piece of information

2. how info is processed and evaluated

1. polarity exogenous /endogenous

exogenous

data about economy (from outside the markets)

determine prices and their variations (see EMH)

endogenous

Limitless (2011, 105 min directed by Neil Burger)

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?

reactions about past prices’ variations

reactions about reactions

fractal account ( RMH)

2.

rationality

speed

efficiency

[2. price behaviours]

Nanex

2010 Flash crash

boom and bust (bubbles)

qualitative side

quantative side

[3. logic]

[4. rules of the stage]

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