On modelling speculative prices: The empirical literature

Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for s peculative prices. The probabilistic structure is usually defined in terms of specific statistical models and relates to the dependence, heterogeneity and the distribution of such prices. The primary objective of this paper i s to trace the development of various statistical models proposed since Bac helier (1900), in an attempt to assess how well these models capture the em pirical regularities exhibited by data on speculative prices.