The main issue with this being that markets don't exhibit behaviour analogous to Brownian motion. It's a nice little assumption that makes the math work, but fr

The main issue with this being that markets don't exhibit behaviour analogous to Brownian motion. It's a nice little assumption that makes the math work, but frequency analysis of real world markets shows that they behave like pink noise instead. And unsurprisingly there are quant funds and prop trading firms that use this very fact to make lots of money. Academic economist's love for the normal distribution is derided by pretty much any fellow real world trader I know.