股票价格可预测性证明

Efficient Market Theory believes that the future price of the stock market has nothing to do with the current and past historical prices, and concludes that there is no trend in stock prices, stock prices cannot be predicted, and technical analysis is invalid. However, a large number of financial market anonymous phenomenon have shown that the stock market is predictable to a certain extent, and the serious disconnect between the Effective Market Theory and financial market practice makes mathematical finance face severe challenges. Based on the empirical research result that the logarithmic return of stock prices is uncorrelated white noise, this paper derives the autocorrelation function, power spectral density and variation range of stock prices, which theoretically proves that stock prices are predictable.