文章基本信息

标题：“A Flaw in the Model … that Defines How the World Works”
本地全文：下载
作者：Volker Bieta ; Hellmuth Milde ; Nadine Marianne Weber 等
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2012
卷号：3
期号：1
页码：p81
语种：English
出版社：Sciedu Press
摘要：In this paper we claim that modeling financial markets based on probability theory is a severe systematic mistake that led to the global financial crisis. We argue that the crisis was not just the result of risk managers using outdated financial data; we think that the employed efficiency model—also referred to as stochastic model—is basically flawed. In an exemplary way, we will prove to the reader that this model is unable to account for interactions between market participants, neglects strategic interdependences and hence leads to erroneous solutions. Our central message is that the existing efficiency model should be replaced by an approach using agent-based scenario analysis.