a new anecdote of antiquity in the history of computational finance john a. dobelman department of...
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A New Anecdote of Antiquity in the History of Computational Finance
John A. Dobelman
Department of StatisticsRice University
September 20, 2004
New Anecdote(Fr., from Greek anekdota, unpublished items)
History"There has been much discussion as to
whether history should not henceforth be treated as a branch of science rather than of
literature“ – T.Roosevelt, 1912
Computational Finance“Difficult electronic calculations involving
money” – D. Senft, 2002
James R. Thompson, Noah Harding Professor of Statistics, Rice University
Dexter Senft, Managing Director, Lehman Brothers, Inc.
William Goetzmann, Yale School of Management, International Center for Finance, National Bureau of Economic Research (NBER)
Canonical Milestone/Anecdote
1912 - Women Computers widely used at Harvard College Observatory
Canonical Milestone/Anecdote
1877-1900 Louis Bachelier, partially based on Charles Castelli’s “The Theory of Options in Stocks and Shares,” opens door for the Gaussian solution:
1877-1900 Castelli and Bachelier
1912 - Women Computers widely used at Harvard College Observatory
1623 - First adding machine is made by Wilhelm Schickard
1912 - Women Computers widely used at Harvard College Observatory
1623 - First adding machine is made by Wilhelm Schickard
1570 - Forwards begin trading on London’s Royal Exchange
1200 - Modern version of the abacus appears in China
1200 - Modern version of the abacus appears in China
B.C. 500 - Counting boards used by Babylonians (The Salamis Tablet)
1200 - Modern version of the abacus appears in China
B.C. 500 - Counting boards used by Babylonians (The Salamis Tablet)
B.C. 600 - Greece. “First” option contracts (Thales the Milesian and olive presses)
B.C. 500 - Counting boards used by Babylonians (The Salamis Tablet)
B.C. 600 - Greece. “First” option contracts (Thales the Milesian and olive presses)
B.C. 1700 - Egypt. “First” commodities hedge (Ge. 41)
Canonical Milestone/Anecdote
20th c. BCE and Earlier?
Origins of Writing!
Mesopotamia
4000-3200 Uruk Period• Inanna temple, Jordan
(1929), Schmandt-Bessert(UT)
• Bullae contracts (no time, parties, interest) commitment
3200-2370 Jemdet Nasr/Early Dynastic Period
• Pictographic tablets document econ
• Ante/post-deluvian• Ur founded (2600)
2111 - 2000 Uruk III• Final flowering of
Sumerians; then, • Elam I destroys Ur• Amorites conquer,
Babylon rises.
2370 - 2112 Sargon Period• Unifies Sumeria @ Akkad• Sir Woolsey discovers Ur “wall st.”
financial empire (1922-34)
1999- Amorites Babylon Rule
•1792-1749 Hammurabi
Sumerian Trailblazing
Science - Business
Religion Nammu (mother goddess), Ishtar or Inanna (love goddess), w/wind and thunder gods
Ziggurats
Goetzmann’s Anecdote(s)Ur, 1796
• Dumuzi-gamil: royal baker to Rim-Sin (5000 l/mo); (1000 yrs); Borrows Ag for 5-year term, makes “payday loans” to fishermen 20% per month! 15 such loans
• Shumi-abum: 500g Ag @ 3 3/4% p.a.; sells note to other investors.
• 2 other investors: Collect the debt in 1791.
Dumuzi-gamil fails in crash of ‘88
Martin Schøyen and the Schøyen Collection
1955: 16th c. French sermons as binding
1986: 15th c. Geraardsbergen Latin Bible
2004: 13,497+ MSS & artifacts. “Thrill of the chase”
Only Manuscripts in the Schøyen Collection (MSC) vol. i, ii and iii (Hermes)
Highlights - Earliest Known, etc.
• 40 fragments of Qumran DSS• 2nd - 7th c. BC Buddhist texts on palm, birch
and vellum• 21st c. pre-Hammurabi legal code (300 yrs)• 26th c. Gilgamesh Epic, Sumerian version• 5th c. Babylonian ziggurat brick w/
Nebuchadezzar's name inscribed• Math (cubic tables, geometry)
Beer Production, Pictographic script Uruk III, Sumer,
31st c. BC
Conclusions
What is it? Forward/futures contract
- contract- quantity
- performance period
What about Price?
Acknowledgements
The SchøyenCollection MS 1717, used by kind permission of
Martin Schøyen
Hope Derosette Dobelman
References
Goetzmann, William, Financing Civilization, book in preparation 2004. Available: http://viking.som.yale.edu/will/finciv/chapter1.htm
Senft, Dexter, “A Brief History of Computational Finance,” Presentation at the The Rice Center for Computational Finance and Economic Systems (CoFES) 2002 Symposium, Rice University, Houston, Texas 11/8/2002.
Shanks, Hershel, "Scrolls, Scripts & Stelae", Bib. Arch. Rev., Sep/Oct 2002