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Proof that Properly Anticipated Prices Fluctuate Randomly
Abstract
By positing a rather general stochastic model of price change, I shall deduce a fairly sweeping theorem in which next-period's price differences are shown to be uncorrelated with (if not completely independent of) previous period's price differences. This martingale property of zero expected capital gain will then be replaced by the slightly more general case of a constant mean percentage gain per unit time.
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Metadata
- Authors
- Samuelson, P. A.
- Venue
- World Scientific Handbook in Financial Economics Series
- Publisher
- WORLD SCIENTIFIC
- Published
- 2015-08-23
- Pages
- 25-38
- ISSN
- 2010-1732 (ISSN-L)
- OpenAlex
- W66483636
- Cited by
- 2,078
- References
- 0
- FWCI
- 727.33
- Type
- book chapter
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
