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Beating the Market? : A Mathematical Puzzle to Market Efficiency

Title data

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

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Official URL: Volltext

Project information

Project financing: Bundesministerium für Bildung und Forschung
Hanns-Seidel-Stiftung
Promotionsstipendium

Abstract in another language

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.

Further data

Item Type: Preprint, postprint, working paper, discussion paper
Keywords: Technical Analysis; Efficient Market Hypothesis; Robust Positive Expectation; Simultaneously Long Short Trading; Control-based Trading Strategies
Subject classification: JEL codes: G11, G14
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Applied Mathematics (Applied Mathematics)
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Profile Fields
Profile Fields > Advanced Fields
Research Institutions
Research Institutions > Research Centres
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Date Deposited: 28 Oct 2017 21:00
Last Modified: 17 Aug 2018 09:56
URI: https://eref.uni-bayreuth.de/id/eprint/40197

Available Versions of this Item