Wikipedia:Articles for deletion/Financial econometrics

The following discussion is an archived debate of the proposed deletion of the article below. Please do not modify it. Subsequent comments should be made on the appropriate discussion page (such as the article's talk page or in a deletion review). No further edits should be made to this page.

The result was keep. (non-admin closure) st170e^talk 01:24, 18 December 2016 (UTC)[reply]

Financial econometrics[edit]

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Looks like a synonym of Mathematical finance. Marcocapelle (talk) 14:43, 3 December 2016 (UTC)[reply]

Note: This debate has been included in the list of Economics-related deletion discussions. Shawn in Montreal (talk) 18:09, 3 December 2016 (UTC)[reply]

Note: This debate has been included in the list of Mathematics-related deletion discussions. Shawn in Montreal (talk) 18:09, 3 December 2016 (UTC)[reply]

strong keep - There is some overlap, but they are different concepts. A difference is explained in the lede of the page for mathematical finance: "[M]athematical finance will derive and extend the mathematical or numerical models without necessarily establishing a link to financial theory... Thus, for example, while a financial economist might study the structural reasons why a company may have a certain share price, a financial mathematician may take the share price as a given, and attempt to use stochastic calculus to obtain the corresponding value of derivatives of the stock (see: Valuation of options; Financial modeling)." Financial econometrics as defined in the lede of this article is: "the application of statistical methods to financial market data". The actual wording in the Brooks textbook cited in the lede has it slightly more generally, "the application of statistical methods to problems in finance". That is, the financial theory generally comes first and financial econometrics seeks to test those theories. Mathematical finance is a branch of finance, so to a financial economist, financial econometrics could be applied to a theory or problem arising in mathematical finance. Note that econometrics and mathematical economics are also separate concepts. Smmurphy^(Talk) 21:11, 3 December 2016 (UTC)[reply]

Based on these definitions, it's far from convincing that Financial econometrics builds more on theory than Mathematical finance does. "Financial econometrics could be applied to a theory or problem arising in mathematical finance" is an interesting statement, can you give a real example of this? Marcocapelle (talk) 21:40, 4 December 2016 (UTC)[reply]

For example, Christoffersen et al (Christoffersen, Peter, Steve Heston, and Kris Jacobs. "Option valuation with conditional skewness." Journal of Econometrics 131, no. 1 (2006): 253-284.) develop an option price version of Black-Scholes pricing (potentially, this would be considered mathematical finance, finance, or economics) (sections 1 and 2) and then use time-series econometrics (or statistics or financial econometrics or just econometrics) to estimate the values of parameters in the model (starting with Table 1).

Which term is used can, in my opinion, depend on the whims of the person describing the work. However, it is probably possible name a mathematical, statistical, or economic object that is fundamental to any given term and is ancillary to another. In my opinion, ARCH models are fundamental to financial econometrics (you'd see it in the first semester of an undergraduate class on the subject) and more ancillary to mathematical finance (it might come in the second semester or a graduate class).Smmurphy^(Talk) 00:01, 5 December 2016 (UTC)[reply]

Note that the article Mathematical finance is starting with a clarification and an example in the header - with the purpose of differentiating Mathematical finance from Financial economics - that you seem to regard as belonging to Financial econometrics. That is, I'm assuming that there is not much difference between stochastic calculus (as mentioned in the article) and time series analysis. Marcocapelle (talk) 07:35, 5 December 2016 (UTC)[reply]

Stochastic calculus is a method in this case for taking basic assumptions and developing a theory. Theories, in this case, are basically equations linking different concepts and parameters. Statistical methods (including those of time series econometrics if appropriate) can estimate those parameters and can sometimes falsify theories. Financial econometrics is using statistical/econometric tools to estimate the parameters of theories coming out of financial economics. One odd definition of economics is it is "economics is what economists do" (ie, economics can be anything so long as an economist can publish about it in an economics journal, hence we have the economics of sports). With this definition in mind, it could also be said that financial econometrics is what it is called when an economist tests theories in finance (including financial economics and mathematical finance). In fact, it would be harder to differentiate mathematical finance, economic finance, and finance. Thus, it makes more sense in the article to focus on the difference between mathematical finance and financial economics, as those are the more similar subjects. Mathematical finance and financial econometrics are, to me, slightly less similar. Smmurphy^(Talk) 13:00, 5 December 2016 (UTC)[reply]

Relisted to generate a more thorough discussion and clearer consensus.
Please add new comments below this notice. Thanks, North America¹⁰⁰⁰ 03:38, 10 December 2016 (UTC)[reply]

Keep These are different topics. Financial econometrics is about the statistical modeling and forecasting of financial time series, as seen in Financial Econometrics: From Basics to Advanced Modeling Techniques. It is a specialized type of applied statistics. Mathematical finance is about the use of probability theory to reason about things like financial instruments. Stochastic analysis and proving theorems like the Black-Scholes formula for options are central topics in mathematical finance, as seen in An Elementary Introduction to Mathematical Finance. Hence, the conclusion that this article is in no way a fork of mathematical finance, along with the obvious notability of the topic, leads to recommending keeping the article. --Mark viking (talk) 04:04, 10 December 2016 (UTC)[reply]

Note: This debate has been included in the list of Business-related deletion discussions. North America¹⁰⁰⁰ 14:07, 10 December 2016 (UTC)[reply]

The above discussion is preserved as an archive of the debate. Please do not modify it. Subsequent comments should be made on the appropriate discussion page (such as the article's talk page or in a deletion review). No further edits should be made to this page.