An Engine, Not a Camera How Financial Models Shape Markets

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Donald MacKenzie, "An Engine, Not a Camera How Financial Models Shape Markets"

The MIT Press (May 1, 2006) | ISBN:0262134608 | 391 pages | PDF | 2.87 Mb

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.

[此贴子已经被作者于2007-12-3 14:00:48编辑过]

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关键词：financial inancial Financia Markets nancial financial How Shape Engine Camera

Contents

Acknowledgements ix
1
Performing Theory? 1
2
Transforming Finance 37
3
Theory and Practice 69
4
Tests, Anomalies, and Monsters 89
5
Pricing Options 119
6
Pits, Bodies, and Theorems 143
7
The Fall 179
8
Arbitrage 211
9
Models and Markets 243
Appendix A
An Example of Modigliani and Miller’s “Arbitrage Proof ” of the Irrelevance of Capital Structure to Total Market Value 277

Appendix B
Lévy Distributions 279
Appendix C
Sprenkle’s and Kassouf ’s Equations for Warrant Prices 281
Appendix D
The Black-Scholes Equation for a European Option on a Non-
Dividend-Bearing Stock 283
Appendix E
Pricing Options in a Binomial World 285
Appendix F
Repo, Haircuts, and Reverse Repo 289
Appendix G
A Typical Swap-Spread Arbitrage Trade 291
Appendix H
List of Interviewees 293
Glossary 297
Notes 303
Sources of Unpublished Documents 331
References 333
Series List 369
Index 371