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The (mis)Behavior of Markets, by Benoit Mandelbrot. Mandelbrot is a wellknown mathematics professor and the inventor of fractal geometry. Perhaps it took someone other than a finance professor to question some of the mathematical assumptions of Modern Portfolio Theory (MPT), which underlies the case for efficient markets, indexing, etc. Mandelbrot notes that implicit in MPT is the assumption that price changes are normally distributed, and he sets about determining whether this is the case. After detailed research, he concludes that price changes are not normally distributedthey are "fatter" in the tail ends than the bellshaped normal distribution curve. As a result, price changes are much more volatile than predicted by MPT. For example, the stock market crash of October 19, 1987 shouldn't have happened in a million years, based on MPT assumptions. Further, quantitativelyoriented investors (like certain hedge funds) periodically blow up (think of the LongTerm Capital Management hedge fund in 1998), because they base their investing strategies on MPT and are unprepared for periodic highly volatile markets. This is an important work, and it represents yet another nail in the coffin of MPT. 
"On the scroll of great noneconomists who advanced economics by quantum leaps, next to John von Neumann we read the name Benoit Mandelbrot." Paul A. Samuelson 