Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian S\~ao Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 minutes to 160 days. At time scales shorter than 20 minutes we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.Comment: 20 pages, 9 figures, to appear in Physica

Law, politics and the governance of English and Scottish joint-stock companies 1600-1850

This article examines the impact of law on corporate governance by means of a case study of joint-stock enterprise in England and Scotland before 1850. Based on a dataset of over 450 company constitutions together with qualitative information on governance practice, it finds little evidence to support the hypothesis that common-law regimes such as England were more supportive of economic growth than civil-law jurisdictions such as Scotland: indeed, levels of shareholder protection were slightly stronger in the civil-law zone. Other factors, such as local political institutions, played a bigger role in shaping organisational forms and business practice

Educating consent? A conversation with Noam Chomsky on the university and business school education

In what follows, we present a conversation with Professor Noam Chomsky on the topic of whether the business school might be a site for progressive political change. The conversation covers a number of key issues related to pedagogy, corporate social responsibility and working conditions in the contemporary business school. We hope the conversion will contribute to the ongoing discussion about the role of the business school in neoliberal societies

Reflections on Modern Macroeconomics: Can We Travel Along a Safer Road?

In this paper we sketch some reflections on the pitfalls and inconsistencies of the research program - currently dominant among the profession - aimed at providing microfoundations to macroeconomics along a Walrasian perspective. We argue that such a methodological approach constitutes an unsatisfactory answer to a well-posed research question, and that alternative promising routes have been long mapped out but only recently explored. In particular, we discuss a recent agent-based, truly non-Walrasian macroeconomic model, and we use it to envisage new challenges for future research.Comment: Latex2e v1.6; 17 pages with 4 figures; for inclusion in the APFA5 Proceeding

Sociological and Communication-Theoretical Perspectives on the Commercialization of the Sciences

Both self-organization and organization are important for the further development of the sciences: the two dynamics condition and enable each other. Commercial and public considerations can interact and "interpenetrate" in historical organization; different codes of communication are then "recombined." However, self-organization in the symbolically generalized codes of communication can be expected to operate at the global level. The Triple Helix model allows for both a neo-institutional appreciation in terms of historical networks of university-industry-government relations and a neo-evolutionary interpretation in terms of three functions: (i) novelty production, (i) wealth generation, and (iii) political control. Using this model, one can appreciate both subdynamics. The mutual information in three dimensions enables us to measure the trade-off between organization and self-organization as a possible synergy. The question of optimization between commercial and public interests in the different sciences can thus be made empirical.Comment: Science & Education (forthcoming

Come back Marshall, all is forgiven? : Complexity, evolution, mathematics and Marshallian exceptionalism

Marshall was the great synthesiser of neoclassical economics. Yet with his qualified assumption of self-interest, his emphasis on variation in economic evolution and his cautious attitude to the use of mathematics, Marshall differs fundamentally from other leading neoclassical contemporaries. Metaphors inspire more specific analogies and ontological assumptions, and Marshall used the guiding metaphor of Spencerian evolution. But unfortunately, the further development of a Marshallian evolutionary approach was undermined in part by theoretical problems within Spencer's theory. Yet some things can be salvaged from the Marshallian evolutionary vision. They may even be placed in a more viable Darwinian framework.Peer reviewedFinal Accepted Versio

(Dis)entangling Barad: Materialisms and ethics

In the wake of the widespread uptake of and debate surrounding the work of Karen Barad, this article revisits her core conceptual contributions. We offer descriptions, elaborations, problematizations and provocations for those intrigued by or invested in this body of work. We examine Barad’s use of quantum physics, which underpins her conception of the material world. We discuss the political strengths of this position but also note tensions associated with applying quantum physics to phenomena at macro-scales. We identify both frictions and unacknowledged affinities with science and technology studies in Barad’s critique of reflexivity and her concept of diffraction. We flesh out Barad’s overarching position of ‘agential realism’, which contains a revised understanding of scientific apparatuses. Building upon these discussions, we argue that inherent in agential realism is both an ethics of inclusion and an ethics of exclusion. Existing research has, however, frequently emphasized entanglement and inclusion to the detriment of foreclosure and exclusion. Nonetheless, we contend that it is in the potential for an ethics of exclusion that Barad’s work could be of greatest utility within science and technology studies and beyond