Cootner, The Random Character of Stock Market Prices, I

One of the most important scholarly books ever published about the financial markets was The Random Character of Stock Market Prices, edited by Paul H. Cootner (M.I.T. Press, 1964). I recently got hold of a copy through interlibrary loan—a lot cheaper than the $2540-$3247 price tags on Amazon for used, library copies of the book (of unknown copyright date, but perhaps the 2000 reprint--geez, guys); AbeBooks’ prices are more realistic.

The book contains a translation of Louis Bachelier’s 1900 doctoral dissertation “Theory of Speculation,” a seminal account of how to value financial options—since retranslated and published along with an intellectual history of stochastic analysis and financial economics in Louis Bachelier’s Theory of Speculation: The Origins of Modern Finance (Princeton University Press, 2011).

The authors of the other papers in the volume make up a who’s who of early financial theory: Harry V. Roberts, M. G. Kendall, M. F. M. Osborne, Holbrook Working, Alfred Cowles, Arnold B. Moore, C. W. J. Granger and O. Morgenstern, Sidney S. Alexander, Arnold B. Larson, William Steiger, Eugene F. Fama, Benoit Mandelbrot, Richard J. Kruizenga, Case M. Sprenkle, A. James Boness, Herbert F. Ayres, Paul A. Samuelson, Henry P. McKean, Jr., and the editor himself.

Since this book is hard to come by, I’m going to devote a few posts to extensive quotations from Cootner’s introductions to the four parts of the book. These introductions give a sense of the arguments of the individual papers; they are more than “teasers.” Readers who are intrigued can pester their local librarians to locate a copy for them (or, in my case, find a source in a digital catalogue).