An Engine, Not a Camera

Donald MacKenzie

380 pages, parution le 12/06/2006

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Résumé

In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes.

Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities.

MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream--chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.

L'auteur - Donald MacKenzie

Donald MacKenzie is Professor of Sociology (Personal Chair) at the University of Edinburgh. His books include Inventing Accuracy (1990), Knowing Machines (1996), and Mechanizing Proof (2001), all published by the MIT Press. Portions of An Engine, not a Camera won the Viviana A. Zelizer Prize in economic sociology from the American Sociological Association.

Sommaire

Performing theory?
Transforming finance
Theory and practice
Tests, anomalies, and monsters
Pricing options
Pits, bodies, and theorems
The fall
Arbitrage
Models and markets
App. A An example of Modigliani and Miller's "Arbitrage proof" of the irrelevance structure to total market value
App. B Levy Distributions
App. C Sprenkle's and Kassouf's equations for warrant prices
App. D The Black-Scholes equation for a European option on a non-dividend-bearing stock
App. E Pricing options in a binomial world
App. F Repo, haircuts, and reverse repo
App. G A typical swap-spread arbitrage trade

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Caractéristiques techniques

	PAPIER
Éditeur(s)	The MIT Press
Auteur(s)	Donald MacKenzie
Parution	12/06/2006
Nb. de pages	380
Format	16 x 24
Couverture	Relié
Poids	645g
Intérieur	Noir et Blanc
EAN13	9780262134606
ISBN13	978-0-262-13460-6