Stock Exchange Performance Research Articles

Bachelier and his times: A conversation with Bernard Bru

Louis Bachelier defended his thesis "Theory of Speculation" in 1900. He used Brownian motion as a model for stock exchange performance. This con- versation with Bernard Bru illustrates the scientific climate of his times and the conditions under which Bachelier made his discoveries. It indicates that Bache- lier was indeed the right person at the right time. He was involved with the Paris stock exchange, was self-taught but also took courses in probability and on the theory of heat. Not being a part of the "scientific establishment," he had the opportunity to develop an area that was not of interest to the mathematicians of the period. He was the first to apply the trajectories of Brownian motion, and his theories prefigure modern mathematical finance. What follows is an edited and expanded version of the original conversation with Bernard Bru. Bernard Bru is the author, most recently, of Borel, L´ evy, Neyman, Pearson et