Independent researchers independently rediscovered random-walk stock price models

Evidence

Although Samuelson was by far the best-known economist to embrace the random-walk model, other analysts did so too. They included Harry V. Roberts, a statistician at the University of Chicago Graduate School of Business, and M. F. M. Osborne, an astrophysicist employed by the U.S. Naval Research Laboratory. Roberts knew of Working’s and Kendall’s papers, but Osborne reached the conclusion that there was “Brownian motion in the stock market” empirically, apparently without knowing of Bachelier, Working, or Kendall. Like Samuelson, Osborne concluded that a log-normal random walk was a better model of stock-market prices than the physicists’ arithmetic Brownian motion. — Donald MacKenzie, An Engine, Not a Camera, 290

Categorization

• XREF: Independent multiple discovery resonates with the sociology-of-science literature on simultaneous discovery (e.g., Merton). — connects to: Option pricing theory developed as Kuhn-style normal science elaborating the random-walk model — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 532; Wall Street Journal dart contests tested whether experts beat random stock selection — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 353; The random-walk hypothesis coexisted with contrary evidence from its earliest formulations. — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 416

Broader Connections

• Option pricing theory developed as Kuhn-style normal science elaborating the random-walk model #responds-to (0.80) — Donald MacKenzie, An Engine, Not a Camera, 532