Brownian Motion in the Stock Market (Operations Research 7 no 2 pp. 145-173, March-April 1959) WITH Letter to the Editor—Reply to Comments on ‘Brownian Motion in the Stock Market’ (Operations Research 7 No. 6 pp. 807-810, November 1959) WITH Periodic Structure in the Brownian Motion of Stock Prices (Operations Research 10 Issue 3 pp. 267-290, May-June 1962) WITH and Financial Analogs of Physical Brownian Motion, as Illustrated by Earnings (The Financial Review 19 No. 2 pp.153-172, May 1984). [BROWNIAN MOTION IN THE STOCK MARKET]. M. F. Maury Osborne, Matthew Maury Osborne.

Brownian Motion in the Stock Market (Operations Research 7 no 2 pp. 145-173, March-April 1959) WITH Letter to the Editor—Reply to Comments on ‘Brownian Motion in the Stock Market’ (Operations Research 7 No. 6 pp. 807-810, November 1959) WITH Periodic Structure in the Brownian Motion of Stock Prices (Operations Research 10 Issue 3 pp. 267-290, May-June 1962) WITH and Financial Analogs of Physical Brownian Motion, as Illustrated by Earnings (The Financial Review 19 No. 2 pp.153-172, May 1984). [BROWNIAN MOTION IN THE STOCK MARKET]

1st Edition. FIRST EDITION OF THE FIRST PUBLICATION OF BROWNIAN MOTION IN THE STOCK PRICES. While the theory was initially Louis Bachelier's, Maury Osborne made major corrections and extensions to Bachelier’s theory, was the first to study the technical analysis scientifically, the first to demonstrate the substantial contribution physics could make to finance, and the first to publish. Osborne elucidated the periodic structure in the Brownian motion of stock prices as well as the financial analogs of physical Brownian motion as illustrated by earnings. This offering comprises a complete set of his papers (4) on the subject.

In the late 1950’s, the American astrophysicist, M. F. Maury Osborne began to study stock prices, noticing that they behaved as would a collection of particles moving randomly in a fluid – in other words, they were exhibiting Brownian motion. “Osborne found that stock prices don't follow a normal distribution as Bachelier had suggested; rather, the rate of return on a stock (the "average percentage by which the price changes each instant") is normally distributed. "Since price and rate of return are related by a logarithm, Osborne's model implies that prices should be log-normally distributed” (Weatherall, The Physics of Wall Street).

Osborne published his hypothesis that price follows a geometric Brownian motion -- the distribution of price changes is log normal in the first 1959 paper offered. In the second, Osborne was jointly responsible for the earliest literature identifying the fat tails and that price deviation is proportional to the square root of time; in the 1962 paper included, Osborne adds his observation of non-stationarity (Osborne 1962)” (Sewell, History of the Efficient Market Hypothesis). In the final, much later, Osborne wrote “The internal structure of stock prices is examined by comparison with simple random walks [with] the volume measures the rate at which the steps are taken. It is found that there is definite evidence of periodic in time structure corresponding to intervals of a day, week, quarter, and year, these being simply the cycles of human attention span” (Osborne, 1984).

In The Physics of Wall Street, Weatherall notes that Osborne’s methodology is worth emulating. “First, you study the data and "make simplifying assumptions to derive simple models." Then "you check carefully to find places where your simplifying assumptions break down and try to figure out, again by focusing on the data, how these failures of your assumptions produce problems for the model's predictions. … For instance, Osborne showed that price changes aren't independent. This is especially true during market crashes, when a series of downward ticks makes it very likely that prices will continue to fall” (The Physics of Wall Street, 2013, p.47). Item #1287

CONDITION & DETAILS: Complete. All four issues are in individual issues with original wrappers and all are in fine condition with the exception of the following: The spines of the first two issues have been professionally restored and there is a library stamp on each front cover. The Financial Review issue has one of the articles listed on the front cover circled in red ink. All four issues are housed in a custom clamshell box, gilt-lettered at the spine and on the front board.

Price: $825.00