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
Introduction | 8 |
Theory of Speculation | 17 |
REFINEMENT AND EMPIRICAL TESTING | 79 |
Copyright | |
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Common terms and phrases
analysis assumed assumption asymptotically Bachelier behavior Brownian motion buyer centimes closing prices common stock computed contango Cootner correlogram corresponding cotton prices daily dispersion dividends economic empirical equal equation estimate expected value fact Figure filter frequency function futures contract gain Gaussian given graphs hypothesis increase independent interval investor kurtosis leverage log-normal distribution logarithmic Mandelbrot 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 purchase 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 U₁ variance volume warrant prices week weekly zero