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1、c01-FinEconoScopePage1Thursday,October26,20061:57PMCHAPTER1FinancialEconometrics:ScopeandMethodsinancialeconometricsistheeconometricsoffinancialmarkets.ItisaFquestformodelsthatdescribefinancialtimeseriessuchasprices,returns,interestrates,financialratios,defaults,andsoon.Theeco-nomicequivalentofthe
2、lawsofphysics,econometricsrepresentsthequantitative,mathematicallawsofeconomics.Thedevelopmentofaquantitative,mathematicalapproachtoeconomicsstartedattheendofthe19thcentury,inaperiodofgreatenthusiasmfortheachievementsofscienceandtechnology.TheWorldExhibitionheldinParisin1889testifiestothefaithof
3、thatperiodinscienceandtechnology.Thekeyattractionoftheexhibi-tion—theEiffelTower—wasconceivedbyGustaveEiffel,anarchitectandengineerwhohadalreadyearnedareputationbuildinglargemetalstructuressuchasthe94-foot-highwrought-ironsquareskeletonthatsupportstheStatueofLiberty.1Withits300-meter-highironst
4、ructure,Eiffel’stowerwasnotonlythetallestbuildingofitstimebutalsoa1Eiffelwasashrewdbusinessmanaswellasanaccomplishedengineer.Whenhelearnedthatthefundingforthe1889WorldExhibitiontowerwouldcoveronlyonefourthofthecost,hestruckadealwiththeFrenchgovernment:Hewouldraisetherequisitefundsinreturnforthe
5、righttoexploitthetowercommerciallyfor20years.Thedealmadehimwealthy.Inthefirstyearalone,revenuescoveredtheen-tirecostoftheproject!Despitehissenseofbusiness,Eiffel’scareerwasdestroyedbythefinancialscandalsurroundingthebuildingofthePanamaCanal,forwhichhisfirmwasamajorcontractor.Thoughlaterclearedo
6、faccusationsofcorruption,Eiffelabandonedhisbusinessactivitiesanddevotedthelast30yearsofhislifetoresearch.1c01-FinEconoScopePage2Thursday,October26,20061:57PM2FINANCIALECONOMETRICSmonumenttoappliedmathematics.Toensurethatthetowerwouldwithstandstrongwinds,Eiffelwroteanintegralequationtodeterminet
7、hetower’sshape.2Thenotionthatmathematicsisthelanguageofnaturedatesback2,000yearstotheancientGreeksandwasforcefullyexpressedbyGali-leo.InhisbookIlsaggiatore(TheAssayer),publishedin1623,Galileowrote(translationbyoneoftheauthorsofthi
