## Title data

Baumann, Michael Heinrich:

**Beating the Market? : A Mathematical Puzzle to Market Efficiency.**

2018

*Event:* 6th International PhD Meeting in Economics 2018
, 5.-6. Juli 2018
, University of Macedonia, Thessaloniki, Greece.

(Conference item: Conference
,
Speech
)

## Related URLs

## Project information

Project financing: |
Bundesministerium für Bildung und Forschung Hanns-Seidel-Stiftung Promotionsstipendium |
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## Abstract in another language

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.

## Further data

Item Type: | Conference item (Speech) |
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Refereed: | Yes |

Institutions of the University: | Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) Profile Fields > Advanced Fields > Nonlinear Dynamics Research Institutions > Central research institutes > Bayreuth Research Center for Modeling and Simulation - MODUS Faculties Faculties > Faculty of Mathematics, Physics und Computer Science Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics Profile Fields Profile Fields > Advanced Fields Research Institutions Research Institutions > Central research institutes |

Result of work at the UBT: | Yes |

DDC Subjects: | 300 Social sciences > 330 Economics 500 Science > 510 Mathematics |

Date Deposited: | 28 Aug 2018 06:35 |

Last Modified: | 28 Aug 2018 06:35 |

URI: | https://eref.uni-bayreuth.de/id/eprint/45588 |