Abstract
The Introduction, Chap. 1, suggested that there is a resemblance of financial price histories to a random walk. It is therefore more than a simple curiosity that the first successful theory of the random walk was motivated by the description of financial time series. The present chapter will therefore describe the random walk hypothesis [27], as formulated by Bachelier for financial time series, in Section 3.2 and the physics of random walks [28], in Sect. 3.3. The mathematical description of random walks can be found in many books [29]. A classical account of the random walk hypothesis in finance has been published by Cootner [7].
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© 2003 Springer-Verlag Berlin Heidelberg
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Voit, J. (2003). Random Walks in Finance and Physics. In: The Statistical Mechanics of Financial Markets. Texts and Monographs in Physics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-05125-2_3
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DOI: https://doi.org/10.1007/978-3-662-05125-2_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-00978-8
Online ISBN: 978-3-662-05125-2
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