Proof that Properly Anticipated Prices Fluctuate Randomly
2015; World Scientific; Linguagem: Inglês
10.1142/9789814566926_0002
ISSN2010-1732
Autores Tópico(s)Economic theories and models
ResumoWorld Scientific Handbook in Financial Economics SeriesThe World Scientific Handbook of Futures Markets, pp. 25-38 (2015) No AccessChapter 2: Proof that Properly Anticipated Prices Fluctuate RandomlyPaul A. SamuelsonPaul A. Samuelsonhttps://doi.org/10.1142/9789814566926_0002Cited by:269 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail 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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