It is known since Bachelier 1900 that price changes are nearly uncorrelated, leading to a random-walk like behaviour of prices. We provide evidence for a very subtle compensation mechanism that underlies the 'random' nature of price changes. This compensation drives the market close to a critical point, which may explain the sensitivity of financial markets to small perturbations, and its propensity to enter bubbles and crashes. We argue that the resulting unpredictability of price changes is very far from the neo-classical view that markets are informationally efficient.
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