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When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models
Abstract
Benoit B. Mandelbrot, When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models, The Review of Economics and Statistics, Vol. 53, No. 3 (Aug., 1971), pp. 225-236
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Cited by
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Some comments on Hurst exponent and the long memory processes on capital markets
Sánchez Granero, M. A., Trinidad Segovia, J. E., & García Pérez, J. (2008) · Physica A: Statistical Mechanics and its Applications · doi:10.1016/j.physa.2008.05.053 · Cited by 276
Bridging the divide in financial market forecasting: machine learners vs. financial economists
Hsu, M.-W., Lessmann, S., Sung, M.-C., Ma, T., & Johnson, J. E. V. (2016) · Expert Systems with Applications · doi:10.1016/j.eswa.2016.05.033 · Cited by 195
Metadata
- Authors
- Mandelbrot, B. B.
- Venue
- The Review of Economics and Statistics
- Publisher
- JSTOR
- Published
- 1971-08
- Volume
- 53
- Issue
- 3
- Pages
- 225
- ISSN
- 0034-6535 (ISSN-L)
- OpenAlex
- W1976955071
- Cited by
- 482
- References
- 0
- FWCI
- 4.41
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models. https://app.cochat.ai/papers/10.2307/1937966
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- Mandelbrot, B. B. (1971). When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models. The Review of Economics and Statistics. https://doi.org/10.2307/1937966
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
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.
