The subtle nature of financial random walks.

We first review the most important "stylized facts" of financial time series, that turn out to be, to a large extent, universal. We then recall how the multifractal random walk of Bacry, Muzy, and Delour generalizes the standard model of financial price changes and accounts in an elegant way for many of their empirical properties. In a second part, we provide empirical evidence for a very subtle compensation mechanism that underlies the random nature of price changes. This compensation drives the market close to a critical point, that may explain the sensitivity of financial markets to small perturbations, and their propensity to enter bubbles and crashes. We argue that the resulting unpredictability of price changes is very far from the neoclassical view that markets are informationally efficient.

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