TABLE OF CONTENTS

CONTENTS

Edited by Paul H. Cootner

Introduction by Andrew Lo, Massachusetts Institute of Technology

Part I - Origins and Justification of the Random Walk Theory

Introduction
Paul H. Cootner

1 Stock-Market ″Patterns″ and Financial Analysis: Methodological Suggestions
Harry V. Roberts

2 Theory of Speculation
Louis Bachelier

Part II - Refinement and Empirical Testing

Introduction
Paul H. Cootner

3 The Analysis of Economic Time-Series - Part 1: Prices
M. G. Kendall

4 Brownian Motion in the Stock Market
M. F. M. Osborne

5 Note on the Correlation of First Differences of Averages in a Random Chain
Holbrook Working

6 A Revision of Previous Conclusions Regarding Stock Price Behavior
Alfred Cowles

7 Some Characteristics of Changes in Common Stock Prices
Arnold B. Moore

8 Spectral Analysis of New York Stock Market Prices
C. W. J. Granger and O. Morgenstern

Part III - The Random Walk Hypothesis Reexamined

Introduction
Paul H. Cootner

9 Price Movements in Speculative Markets: Trends or Random Walks
Sidney S. Alexander

10 Measurement of a Random Process in Futures Prices
Arnold B. Larson

11 Stock Prices: Random vs. Systematic Changes
Paul H. Cootner

12 A Test of Nonrandomness in Stock Price Changes
William Steiger

13 Periodic Structure in the Brownian Motion of Stock Prices
M. F. M. Osborne

14 Mandelbrot and the Stable Paretian Hypothesis
Eugene F. Fama

15 The Variation of Certain Speculative Prices
Benoit Mandelbrot

Comments on the Variation of Certain Speculative Prices
Paul H. Cootner

16 Price Movements in Speculative Markets: Trends or Random Walks, No. 2
Sidney S. Alexander

Part IV - The Statistical Analysis of Option Prices

Introduction
Paul H. Cootner

17 Introduction to the Option Contract
Richard J. Kruizenga

18 Profit Returns from Purchasing Puts and Calls
Richard J. Kruizenga

19 Warrant Prices as Indicators of Expectations and Preferences
Case M. Sprenkle

20 Some Evidence on the Profitability of Trading in Put and Call Options
A. James Boness

21 Risk Aversion in the Warrant Markets
Herbert F. Ayres

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  CONTRIBUTORS

Harry V. Roberts; Louis Bachelier; M. G. Kendall; M. F. M. Osborne; Holbrook Working; Alfred Cowles; Arnold B. Moore; C. W. J. Granger and O. Morgenstern; Sidney S. Alexander; Arnold B. Larson; William Steiger; M. F. M. Osborne; Eugene F. Fama; Benoit Mandelbrot; Sidney S. Alexander; Richard J. Kruizenga; Case M. Sprenkle; A. James Boness; Herbert F. Ayres
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