Article1971

When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models

482 citations0/0 files storedThe Review of Economics and Statistics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and 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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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1965The Behavior of Stock-Market Prices 1900Théorie de la spéculation 1969Some long‐run properties of geophysical records 1967The Variation of Some Other Speculative Prices

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