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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.
2018
Event: XIX Workshop on Quantitative Finance – QFW2018 , 24.-26.01.2018 , University of Roma Tre.
(Conference item: Workshop , Speech )

Project information

Project financing: Bundesministerium für Bildung und Forschung
Hanns-Seidel-Stiftung
The work of Michael H. Baumann is supported by a scholarship of Hanns-Seidel-Stiftung e.V. (HSS), funded by Bundesministerium für Bildung und Forschung (BMBF).

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 con- struct 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: Conference item (Speech)
Refereed: Yes
Keywords: Technical Analysis; Efficient Market Hypothesis; Robust Positive Expectation; Simultaneously Long Short Trading; Control-based Trading Strategies
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (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: 08 May 2018 12:34
Last Modified: 08 May 2018 12:34
URI: https://eref.uni-bayreuth.de/id/eprint/44037