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Baumann, Michael Heinrich:
Beating the Market? : A Mathematical Puzzle to Market Efficiency.
2018
Veranstaltung: XIX Workshop on Quantitative Finance – QFW2018
, 24.-26.01.2018
, University of Roma Tre.
(Veranstaltungsbeitrag: Workshop
,
Vortrag
)
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| Projektfinanzierung: |
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). |
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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 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.