Proof that Properly Anticipated Prices Fluctuate Randomly

Paul Samuelson

Chapter 2 in The World Scientific Handbook of Futures Markets, 2015, pp 25-38 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Futures Markets; Pricing; Risk Management; Futures Trading; Stock Indexes; Interest Rates; Futures Prices; Portfolio Theory; Hedge Funds; Foreign Exchange (search for similar items in EconPapers)
Date: 2015
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