bei Google ScholarTitelangaben
Baumann, Michael Heinrich:
Beating the Market? : A Mathematical Puzzle to Market Efficiency.
2018
Veranstaltung: 22nd Annual International Conference on Macroeconomic Analysis and International Finance
, 24.-26. Mai 2018
, University of Crete, Rethymno, Greece.
(Veranstaltungsbeitrag: Kongress/Konferenz/Symposium/Tagung
,
Vortrag
)
Weitere URLs
Angaben zu Projekten
| Projektfinanzierung: |
Bundesministerium für Bildung und Forschung Hanns-Seidel-Stiftung Promotionsstipendium |
|---|
Abstract
The efficient market hypothesis is highly discussed - supported and criticized - in economic literature. In its strongest form, it states that there are no price trends. When weakening the non-trending assumption only a little to arbitrary short, small, and fully unknown trends, I mathematically prove, for a specific class of control-based trading strategies, positive expected gains. Adjustments for risk and comparisons with buy-and-hold strategies do not satisfactorily solve the problem. In addition, in an exemplary backtesting study, when transaction costs and bid-ask-spreads are taken into account, I still observe, on average, positive gains. These strategies are model-free, i.e., a trader neither has to estimate market parameters as the trend's sign nor has to think about predictable patterns, etc. In this work, I bring together the economists' view on efficient markets and the engineers' view on feedback trading.