A New Anecdote of Antiquity in the
History of Computational Finance
John A. Dobelman
Department of Statistics
Rice 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(Fr., from Greek anekdota, unpublished items)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), SchmandtBessert(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 Schøyen
Collection 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