A non-random walk down Wall Street
By: Andrew W. Lo, A. Craig MacKinlay.
Contributors: MacKinlay, Archie Craig, 1955-
Publisher: Princeton University Press
Published: 1999
Place of publication: Princeton, N.J
Language: eng
Number of pages: 424
Subjects: Stocks -- Prices -- Mathematical models; Random walks (Mathematics)
Description: For over half a century financial experts have regarded the movements of markets as a random walk - unpredictable meanderings akin to a drunkard's unsteady gait - and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test.

In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future.
Notes: Includes bibliographical references (p. 395-415) and index.