The origins of the random walk model in financial theory

Working paper in french

Three main concerns pave the way for the birth of the random walk model in financial theory: an ethical issue with Jules Regnault (1834-1894), a scientific issue with Louis Bachelier (1870-1946) and a pratical issue with Alfred Cowles (1891-1984). Three topics arise with these concerns: the morality of stock market (Regnault), the scientificity of stock market (Bachelier), the practicality of stock market (Cowles). Three demarcation criteria follow these argumentations: an ethical criterion (Regnault), a scientificity criterion (Bachelier), an efficiency criterion (Cowles). The random walk model in finance seems fulfil these goals: to separate the good from the bad speculation, to put the Government bonds variations inside mathematical model, to distinguish between skill and luck of professional fund managers.