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Random Walks

  • Harold L. Vogel
Chapter

Abstract

Random walk was an early descriptive phrase and plank in what has come to be called modern portfolio theory. It includes the notions of efficient markets and equilibrium economics. This chapter reviews the subject in detail, not because the theory is necessarily correct and useful, but because it provides a benchmark against which newer and better approaches can be compared. Volatility is a key factor in all bubbles and crashes and an extreme events line based on option volatility is introduced.

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Authors and Affiliations

  • Harold L. Vogel
    • 1
  1. 1.New YorkUSA

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