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Chronique d'un randonneur centenaire : le DOW JONES

Daniel ZAJDENWEBER
Histoire & Mesure
Vol. 6, No. 1/2, SÉRIES TEMPORELLES (1991), pp. 121-136
Published by: EHESS
Stable URL: http://www.jstor.org/stable/24565935
Page Count: 16
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Chronique d'un randonneur centenaire : le DOW JONES
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Abstract

L'indice Dow Jones des valeurs industrielles aura bientôt cent ans. Calculé en dollar courant, sa croissance a été spectaculaire : de 40 à 3 000. Mais calculé en dollar constant, il change du tout au tout. Il fluctue autour de l'indice 100, observé en 1913, et il n'a toujours pas retrouvé son record historique de janvier 1966. En fait, il fluctue comme une marche au hasard, conformément à ce que prévoit la théorie économique dite de « l'efficience » des marchés boursiers. Les conséquences théoriques et pratiques de ce modèle de fluctuations sont souvent contraires à l'intuition naïve. Les retours à l'indice 100 sont certains, mais leur date est aléatoire. Pis, la longueur moyenne entre deux retours est infinie. De même, on est sûr que dans le long terme, le maximum déjà observé sera dépassé un jour ou l'autre, mais on ne saura jamais, à l'avance, quand. The Dow Jones index of the industrial values will be soon hundred years. The increase of it is spectacular, measured in current dollars : from 40 to 3 000. But all is changing when measured in constant dollars. It fluctuated around the index 100 (1913) and today it is not up to its historical level of january 1966. In fact, it fluctuates as a random walk, according to what is established in the economic theory of the efficiency of the stock exchange markets. Theoretical and practical consequences of this type of fluctuations model are often against the naive intuition. The curve reaches periodically the index 100 the period is uncertain. Moreover, the average lenght between two turns is infinite. We are sure also that in the long term, the maximum index already reached will be exceeded but one never knows when.

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