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Random walk hypothesis

Index Random walk hypothesis

The random walk hypothesis is a financial theory stating that stock market prices evolve according to a random walk (so price changes are random) and thus cannot be predicted. [1]

25 relations: A Random Walk Down Wall Street, Adaptive market hypothesis, Alok Bhargava, Andrew Lo, Burton Malkiel, Efficient-market hypothesis, Eugene Fama, Finance, Independence (probability theory), Jules Regnault, Louis Bachelier, Market price, Market trend, Maurice Kendall, MIT Press, MIT Sloan School of Management, Paul Cootner, Princeton University, Princeton University Press, Random walk, Randomness, Rate of return, Stock, Stock market, Technical analysis.

A Random Walk Down Wall Street

A Random Walk Down Wall Street, written by Burton Gordon Malkiel, a Princeton economist, is a book on the subject of stock markets which popularized the random walk hypothesis.

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Adaptive market hypothesis

The adaptive market hypothesis, as proposed by Andrew Lo, is an attempt to reconcile economic theories based on the efficient market hypothesis (which implies that markets are efficient) with behavioral economics, by applying the principles of evolution to financial interactions: competition, adaptation and natural selection.

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Alok Bhargava

Alok Bhargava (born 13 July 1954) is an Indian econometrician.

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Andrew Lo

Andrew Wen-Chuan Lo (born 1960) is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management.

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Burton Malkiel

Burton Gordon Malkiel (born August 28, 1932) is an American economist and writer, most famous for his classic finance book A Random Walk Down Wall Street (now in its 12th edition, 2015).

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Efficient-market hypothesis

The efficient-market hypothesis (EMH) is a theory in financial economics that states that asset prices fully reflect all available information.

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Eugene Fama

Eugene Francis "Gene" Fama (born February 14, 1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing and the ‘Efficient Market hypothesis’.

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Finance

Finance is a field that is concerned with the allocation (investment) of assets and liabilities (known as elements of the balance statement) over space and time, often under conditions of risk or uncertainty.

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Independence (probability theory)

In probability theory, two events are independent, statistically independent, or stochastically independent if the occurrence of one does not affect the probability of occurrence of the other.

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Jules Regnault

Jules Augustin Frédéric Regnault (1 February 1834, Béthencourt – 9 December 1894, Paris) was a French stock broker's assistant who first suggested a modern theory of stock price changes in Calcul des Chances et Philosophie de la Bourse (1863) and used a random walk model.

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Louis Bachelier

Louis Jean-Baptiste Alphonse Bachelier (March 11, 1870 – April 28, 1946) was a French mathematician at the turn of the 20th century.

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Market price

In economics, market price is the economic price for which a good or service is offered in the marketplace.

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Market trend

A market trend is a perceived tendency of financial markets to move in a particular direction over time.

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Maurice Kendall

Sir Maurice George Kendall, FBA (6 September 1907 – 29 March 1983) was a British statistician, widely known for his contribution to statistics.

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MIT Press

The MIT Press is a university press affiliated with the Massachusetts Institute of Technology (MIT) in Cambridge, Massachusetts (United States).

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MIT Sloan School of Management

The MIT Sloan School of Management (also known as MIT Sloan or Sloan) is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts, United States.

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Paul Cootner

Paul Harold Cootner (May 24, 1930 – April 16, 1978) was a financial economist noted for his book The Random Character of Stock Market Prices.

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Princeton University

Princeton University is a private Ivy League research university in Princeton, New Jersey.

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Princeton University Press

Princeton University Press is an independent publisher with close connections to Princeton University.

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Random walk

A random walk is a mathematical object, known as a stochastic or random process, that describes a path that consists of a succession of random steps on some mathematical space such as the integers.

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Randomness

Randomness is the lack of pattern or predictability in events.

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Rate of return

In finance, return is a profit on an investment.

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Stock

The stock (also capital stock) of a corporation is constituted of the equity stock of its owners.

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Stock market

A stock market, equity market or share market is the aggregation of buyers and sellers (a loose network of economic transactions, not a physical facility or discrete entity) of stocks (also called shares), which represent ownership claims on businesses; these may include securities listed on a public stock exchange as well as those only traded privately.

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Technical analysis

In finance, technical analysis is an analysis methodology for forecasting the direction of prices through the study of past market data, primarily price and volume.

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Random Walk Hypothesis.

References

[1] https://en.wikipedia.org/wiki/Random_walk_hypothesis

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