A Non-Random Walk Down Wall Street
Published on 31. January 1999
Book
Hardback
448 pages
978-0-691-05774-3 (ISBN)
Description
For over half a century, financial experts have regarded the movements of markets as a random walk - unpredictable meanderings akin to a drunkard's unsteady gait - and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. In this text, the authors argue that markets are not completely random after all and that predictable components do exist. They provide an account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offer a glimpse into the financial technologies of the future.
Reviews / Votes
"What Andrew W. Lo and A. Craig MacKinlay impressively do... [is look] for hard statistical evidence of predictable patterns in stock prices.... Here they marshal the most sophisticated techniques of financial theory to show that the market is not completely random after all." - Jim Holt, Wall Street Journal "A classic text in the theory of finance... [and] also one for practitioners." - Diane Coyle, Independent "This book is highly recommended to academic and private-sector economists who are interested in understanding better the behavior of financial market returns." - Lars Peter Hansen, University of ChicagoMore details
Language
English
Place of publication
New Jersey
United States
Target group
College/higher education
Professional and scholarly
Product notice
Trade binding
Illustrations
64 tables 2 line illus.
Dimensions
Height: 229 mm
Width: 152 mm
Weight
794 gr
ISBN-13
978-0-691-05774-3 (9780691057743)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Andrew W. Lo | A. Craig MacKinlay
A Non-Random Walk Down Wall Street
Non-Random Walk Down Wall Street
E-Book
11/2011
1st Edition
Princeton University Press
from
€199.95
Available for download
Persons
Andrew W. Lo is the Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P.Wargrove Professor of Finance at the Wharton School, University of Pennsylvania. With John Y. Campbell, they are the authors of The Econometrics of Financial Markets (Princeton), which received the Paul A. Samuelson Award in 1997.