{"id":"https://openalex.org/W2006093709","doi":"https://doi.org/10.1016/s0378-4266(99)00017-5","title":"Methodological issues in asset pricing: Random walk or chaotic dynamics","display_name":"Methodological issues in asset pricing: Random walk or chaotic dynamics","publication_year":1999,"publication_date":"1999-11-01","ids":{"openalex":"https://openalex.org/W2006093709","doi":"https://doi.org/10.1016/s0378-4266(99)00017-5","mag":"2006093709"},"language":"en","primary_location":{"id":"doi:10.1016/s0378-4266(99)00017-5","doi":"https://doi.org/10.1016/s0378-4266(99)00017-5","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s0378-4266(99)00017-5","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083915951","display_name":"Anastasios G. Malliaris","orcid":"https://orcid.org/0000-0003-0568-5697","observed_orcids":["https://orcid.org/0000-0003-0568-5697"]},"institutions":[{"id":"https://openalex.org/I1925986","display_name":"Loyola University Chicago","ror":"https://ror.org/04b6x2g63","country_code":"US","type":"education","lineage":["https://openalex.org/I1925986"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"A.G. Malliaris","raw_affiliation_strings":["Department of Economics, Loyola University, 820 N. Michigan Avenue, Chicago, IL 60611, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Loyola University, 820 N. Michigan Avenue, Chicago, IL 60611, USA","institution_ids":["https://openalex.org/I1925986"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5108527885","display_name":"Jerome L. Stein","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I27804330","display_name":"Brown University","ror":"https://ror.org/05gq02987","country_code":"US","type":"education","lineage":["https://openalex.org/I27804330"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Jerome L. Stein","raw_affiliation_strings":["Division of Applied Mathematics, Brown University, Box F, Providence, RI 02912, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Division of Applied Mathematics, Brown University, Box F, Providence, RI 02912, USA","institution_ids":["https://openalex.org/I27804330"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5108527885"],"corresponding_institution_ids":["https://openalex.org/I27804330"],"apc_list":{"value":3340,"currency":"USD","value_usd":3340},"apc_paid":null,"fwci":16.5291,"has_fulltext":false,"cited_by_count":48,"citation_normalized_percentile":{"value":0.98715891,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":95},"biblio":{"volume":"23","issue":"11","first_page":"1605","last_page":"1635"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8676999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8676999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.09939999878406525,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.013899999670684338,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/efficient-market-hypothesis","display_name":"efficient market hypothesis","score":0.9269999861717224},{"id":"https://openalex.org/keywords/random-walk-hypothesis","display_name":"random walk hypothesis","score":0.7749999761581421},{"id":"https://openalex.org/keywords/price-volatility","display_name":"price volatility","score":0.9259999990463257},{"id":"https://openalex.org/keywords/incomplete-information","display_name":"incomplete information","score":0.6890000104904175},{"id":"https://openalex.org/keywords/chaotic-dynamics","display_name":"chaotic dynamics","score":0.8199999928474426},{"id":"https://openalex.org/keywords/serial-correlation","display_name":"serial correlation","score":0.6349999904632568},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.718999981880188},{"id":"https://openalex.org/keywords/financial-markets","display_name":"financial markets","score":0.8640000224113464},{"id":"https://openalex.org/keywords/agricultural-markets","display_name":"agricultural markets","score":0.9559999704360962},{"id":"https://openalex.org/keywords/learning-process","display_name":"learning process","score":0.3630000054836273}],"concepts":[{"id":"https://openalex.org/C125112378","wikidata":"https://www.wikidata.org/wiki/Q176640","display_name":"Randomness","level":2,"score":0.826903223991394},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6956923007965088},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6552146673202515},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.6340681314468384},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6022290587425232},{"id":"https://openalex.org/C46461501","wikidata":"https://www.wikidata.org/wiki/Q1935853","display_name":"Random walk hypothesis","level":4,"score":0.5839192867279053},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.4749848246574402},{"id":"https://openalex.org/C182365436","wikidata":"https://www.wikidata.org/wiki/Q50701","display_name":"Variable (mathematics)","level":2,"score":0.4329322874546051},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4218437075614929},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24675750732421875},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15300002694129944},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/s0378-4266(99)00017-5","doi":"https://doi.org/10.1016/s0378-4266(99)00017-5","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s0378-4266(99)00017-5","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jbfina:v:23:y:1999:i:11:p:1605-1635","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0378-4266(99)00017-5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Zero hunger","id":"https://metadata.un.org/sdg/2","score":0.7300000190734863}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W66483636","https://openalex.org/W627750649","https://openalex.org/W1479857426","https://openalex.org/W1485169789","https://openalex.org/W1486638713","https://openalex.org/W1507259579","https://openalex.org/W1594022749","https://openalex.org/W1966199522","https://openalex.org/W1966659896","https://openalex.org/W1967942901","https://openalex.org/W1989097268","https://openalex.org/W1999110462","https://openalex.org/W2024892154","https://openalex.org/W2044793768","https://openalex.org/W2063130671","https://openalex.org/W2073782990","https://openalex.org/W2078857885","https://openalex.org/W2081159014","https://openalex.org/W2089876099","https://openalex.org/W2094392844","https://openalex.org/W2106175469","https://openalex.org/W2323041413","https://openalex.org/W2328464670","https://openalex.org/W2489977932","https://openalex.org/W3025401191","https://openalex.org/W3145652212","https://openalex.org/W4242674552","https://openalex.org/W4300791641","https://openalex.org/W4386080022","https://openalex.org/W4399166968","https://openalex.org/W6602639892","https://openalex.org/W6722692821","https://openalex.org/W6789961967"],"related_works":["https://openalex.org/W7204644074","https://openalex.org/W7110627679","https://openalex.org/W2492012384","https://openalex.org/W2107573402","https://openalex.org/W103159289","https://openalex.org/W1596212497","https://openalex.org/W2005039908","https://openalex.org/W2034327947","https://openalex.org/W1580553463","https://openalex.org/W7032835927"],"abstract_inverted_index":null,"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}