On Modelling Speculative Prices: The Empirical Literature
追溯自Bachelier(1900)以来各类统计模型的发展，评估它们捕捉投机价格数据中经验规律的能力，对金融经济学和计量经济学研究者有参考价值。
Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in terms of specific statistical models and relates to the dependence, heterogeneity and the distribution of such prices. The primary objective of this paper is to trace the development of various statistical models proposed since Bachelier (1900), in an attempt to assess how well these models capture the empirical regularities exhibited by data on speculative prices.