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Random Walks

In: Financial Market Bubbles and Crashes

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  • Harold L. Vogel

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 developed. Volatility is a key factor in all bubbles and crashes and an extreme events line based on option volatility is introduced.

Suggested Citation

  • Harold L. Vogel, 2021. "Random Walks," Springer Books, in: Financial Market Bubbles and Crashes, edition 3, chapter 0, pages 279-316, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-79182-7_6
    DOI: 10.1007/978-3-030-79182-7_6
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