Mandelbrot deeply influenced Chicago finance via rigorous expectations theory

Evidence

Early in 1962, Mandelbrot was in Chicago and took the opportunity to visit the Graduate School of Business. Merton Miller and his colleagues were impressed “We all wanted to make him an offer [of a professorship]” (Miller interview) and a productive collaboration, albeit an informal and largely long-distance one, ensued. … “Benoit had a great influence on a lot of us, not just the fat tails but the first really rigorous treatment of expectations [Mandelbrot 1966], and so on… I’m, to this day, a Mandelbrotian.” (Miller interview) The University of Chicago financial economist who took up Mandelbrot’s work most actively was Eugene Fama, still a graduate student in 1962. — Donald MacKenzie, An Engine, Not a Camera, 496

Categorization

• XREF: Connects to the performativity thesis: Mandelbrot’s ideas shaped leading finance theorists’ expectations treatments, a pathway of influence into market practice. — connects to: Chicago economics directly inspired the financial derivatives and deregulation behind the crisis — Philip Mirowski, Never Let a Serious Crisis Go to Waste, 497

Broader Connections

• Chicago economics directly inspired the financial derivatives and deregulation behind the crisis #expands (0.78) — Philip Mirowski, Never Let a Serious Crisis Go to Waste, 497