The Random Character of Stock Market PricesPaul H. Cootner Cootner's classic has been an inspiration to a generation of financial economists and its publication in 1964 marked the beginnings of the field known as financial econometrics. - Professor Andrew Lo, Professor of Finance, Massachusetts Institute of Technology |
Contents
ORIGINS AND JUSTIFICATION OF | 1 |
Methodological Suggestions | 7 |
Theory of Speculation | 17 |
Copyright | |
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analysis assumed assumption asymptotically Bachelier behavior Brownian motion buyer centimes closing prices common stock computed contango Cootner correlogram corresponding daily dispersion dividends economic empirical equal equation estimate expected value Figure filter frequency function futures contract gain Gaussian given graphs increase independent interval investor kurtosis leverage log-normal distribution logarithmic loge Mandelbrot market prices mathematical mean method month monthly moving average negative normal distribution NYSE observed option Osborne paper parameters percentage period positive premium price changes price movements price series probability profit puts and calls random variables random walk random walk hypothesis ratio relative risk sample segment selling serial correlation stable Paretian distributions standard deviation statistical stock market stock prices swings Table theory tion trading transactions trend U.S. Steel variance volume warrant prices Weber-Fechner law week weekly zero