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The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street by Justin Fox

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Chapter 2: A Random Walk from Fred Macaulay to Holbrook Working

Statistics and mathematics begin to find their way into the economic mainstream in the 1930s, setting the stage for big changes to come.

The coin flip came to stock market research in April 1925, at the same statisticians’ dinner where Roger Babson and William Peter Hamilton described their forecasting methods. After they and the other speakers had finished, Frederick Macaulay stepped to the podium.

Macaulay was a late-blooming scholar—he had gotten his Columbia economics Ph.D. four years before at the age of thirty-nine—working on an investigation of market behavior for a new think tank called the National Bureau of Economic Research (NBER). He was also a mischievous sort. ...

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