Fat tails, long-term autocorrelation, discontinuities in price changes, divergent variances. Aside from missing those observable features of the data, the theo

Fat tails, long-term autocorrelation, discontinuities in price changes, divergent variances. Aside from missing those observable features of the data, the theory is missing much about market agents: herding and contagion, information asymmetries, slow convergence to equilibrium, non-normally distributed errors, heterogeneous strategies and objectives, interaction effects, confirmation bias. I'm just repeating Taleb, and his mentor Mandelbrot, of course: https://www.amazon.com/Black-Swan-Improbable-Robustness-Fragility/dp/081297381X/ref=sr_1_1?ie=UTF8&qid=1494426362&sr=8-1&keywords=the+black+swan https://www.amazon.com/Black-Swan-Improbable-Robustness-Frag... https://www.amazon.com/Misbehavior-Markets-Fractal-Financial-Turbulence/dp/0465043577/ref=sr_1_1?ie=UTF8&qid=1494426381&sr=8-1&keywords=misbehavior+of+markets https://www.amazon.com/Misbehavior-Markets-Fractal-Financial...