Beating the Market? : A Mathematical Puzzle to Market Efficiency

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Baumann, Michael Heinrich:
Beating the Market? : A Mathematical Puzzle to Market Efficiency.
Universität Bayreuth
Bayreuth , 2017 . - 39 S.

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Abstract

The efficient market hypothesis is highly discussed---supported and criticized---in economic literature. In its weakest form it states that there are no price trends. When weakening the no-trending assumption only a little to arbitrary short and small and fully unknown trends, by use of control techniques it is very easy to construct trading strategies with zero initial investment and positive expected gain. Since even the trend's sign may be unknown, a possible trader does not have to think about predictable patterns etc.\ Even if compared to buy-and-hold strategies and adjusted for risk, the control-based strategies are preferable.