Random Walks in Finance and Physics

  • Johannes Voit
Part of the Texts and Monographs in Physics book series (TMP)


The Introduction, Chap. 1, suggested that there is a resemblance of financial price histories to a random walk. It is therefore more than a simple curiosity that the first successful theory of the random walk was motivated by the description of financial time series. The present chapter will therefore describe the random walk hypothesis [27], as formulated by Bachelier for financial time series, in Section 3.2 and the physics of random walks [28], in Sect. 3.3. The mathematical description of random walks can be found in many books [29]. A classical account of the random walk hypothesis in finance has been published by Cootner [7].


Brownian Motion Random Walk Osmotic Pressure Price Change Maturity Date 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Johannes Voit
    • 1
  1. 1.Deutscher Sparkassen- und GiroverbandBonnGermany

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