Thanks, Simplegift. As Peter Bernstein pointed out in his excellent "Capital Ideas," lots of the theorists we all know today stood on the shoulders of others. Witness this paragraph on market efficiency by E. Dimson, and M. Mussavian, re Bachelier:
The concept of market efficiency had been anticipated at the beginning of the century in the
dissertation submitted by Bachelier (1900) to the Sorbonne for his PhD in mathematics. In his
opening paragraph, Bachelier recognises that "past, present and even discounted future events are
reflected in market price, but often show no apparent relation to price changes".
This recognition of the informational efficiency of the market leads Bachelier to continue,
in his opening paragraphs, that "if the market, in effect, does not predict its fluctuations, it does
assess them as being more or less likely, and this likelihood can be evaluated mathematically".
This gives rise to a brilliant analysis that anticipates not only Albert Einstein's subsequent derivation
of the Einstein-Wiener process of Brownian motion, but also many of the analytical results that
were rediscovered by finance academics in the second half of the century. Sadly, Bachelier's
contribution was overlooked....
European Financial Management, Volume 4, Number 1, March 1998, pp 91-193
I don't remember exactly, but I think Bernstein said Bachelier first made his observations by looking at the prices of commodities traded at the time.
EDIT: The authors go on to point out that the Bachelier paper was unknown in the US until Paul Samuelson circulated it in the '50's. Also, they do say he studied commodity prices to draw his conclusions.
The full 14-page PDF by the authors on market efficiency can be found here:
http://citeseerx.ist.psu.edu/viewdoc/do ... 1&type=pdf