Rocks and Boulders

Mandelbrot and Hudson in The (Mis) Behavior of the Markets dismiss the random walk as an explanation for market swings. The list of their ten heresies of finance:

1. Markets are Turbulent
2. Markets are Very, Very Risky
3. Market Timing Matters Greatly
4. Prices Often Leap, Not Glide
5. In Markets, Time is Flexible
6. Markets in All Places and Ages Work Alike
7. Bubbles are Inevitable
8. Markets are Deceptive
9. You May be able to Estimate Future Volatility
10. "Value" has Limited Value

Above all the Markets are not normal! In other words they do not adhere to a bell shaped normal distribution of returns. This knocks all conventional wisdom on its head (CAPM, VAR, Black-Scholes, etc.)