Journal of the American Statistical Association
Выпуск N450 за 2000 год
Finance: A Selective Survey [статья]
Опубликовано на портале: 19-11-2007Andrew W. Lo Journal of the American Statistical Association. 2000. Vol. 95. No. 450. P. 629-635.
Ever since the publication in 1565 of Girolamo Cardano's treatise on gambling, Liber de Ludo Aleae (The Book of Games of Chance), statistics and financial markets have become inextricably linked. Over the past few decades many of these links have become part of the canon of modern finance, and it is now impossible to fully appreciate the workings of financial markets without them. This selective survey covers three of the most important ideas of finance---efficient markets, the random walk hypothesis, and derivative pricing models---that illustrate the enormous research opportunities that lie at the intersection of finance and statistics