Une histoire du concept d'efficience sur les marchés financiers

The so-called market efficiency, which states that prices fully reflect all available information, is a key concept of the modern financial theory. Actually, most of the practical mechanisms and financial instruments traded on markets are based on this hypothesis. This concept is closely related to a probabilistic representation of the behavior of stock market prices. This representation allows to test and possibly to falsify the concept, which is not testable per se. First proposed by a French mathematician, Louis Bachelier, in 1900, the probabilistic representation postulates a strong impredictibility of prices movements, and a gaussian distribution of returns: prices follow a random walk with drift. Its scientific usefulness is now proved, since it has changed the views and practices of market professionals, but only after hard conflicts in the field of finance world. Important point is that the probabilistic representation came before an economie explanation of the random walk. So the efficent market hypothesis has been first associated with the normal distribution: the problem of anomalies observed in testing the efficiency is clouded by this joint-hypothesis. Since the crash of october 1987, a new way of considering markets is emerging, which could lead to a split between efficiency and normal probability distribution. The history of the forming of this concept discloses, over a long time, the specific components which are at the origin of the crisis of this paradigm.