Title data
Baumann, Michael Heinrich:
Beating the market? A mathematical puzzle for market efficiency.
In: Decisions in Economics and Finance.
Vol. 45
(2022)
.
 pp. 279325.
ISSN 11296569
DOI: https://doi.org/10.1007/s10203021003618
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Project financing: 
Bundesministerium für Bildung und Forschung HannsSeidelStiftung Promotionsstipendium. Open Access funding enabled and organized by Projekt DEAL. 

Abstract in another language
The efficient market hypothesis is highly discussed in economic literature. In its strongest form, it states that there are no price trends. When weakening the nontrending assumption to arbitrary short, small, and fully unknown trends, we mathematically prove for a specific class of controlbased trading strategies positive expected gains. These strategies are model free, i.e., a trader neither has to think about predictable patterns nor has to estimate market parameters such as the trend’s sign like momentum traders have to do. That means, since the trader does not have to know any trend, even trends too small to find are enough to beat the market. Adjustments for risk and comparisons with buyandhold strategies do not satisfactorily solve the problem. In detail, we generalize results from the literature on controlbased trading strategies to market settings without specific model assumptions, but with timevarying parameters in discrete and continuous time. We give closedform formulae for the expected gain as well as the gain’s variance and generalize controlbased trading rules to a setting where older information counts less. In addition, we perform an exemplary backtesting study taking transaction costs and bidask spreads into account and still observe  on average  positive gains.
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Beating the Market? : A Mathematical Puzzle to Market Efficiency. (deposited 28 Oct 2017 21:00)

Beating the Market? : A Mathematical Puzzle to Market Efficiency. (deposited 17 Aug 2018 09:56)

Beating the Market? (deposited 13 Feb 2019 10:33)
 Beating the market? A mathematical puzzle for market efficiency. (deposited 16 Nov 2021 13:04) [Currently Displayed]

Beating the Market? (deposited 13 Feb 2019 10:33)

Beating the Market? : A Mathematical Puzzle to Market Efficiency. (deposited 17 Aug 2018 09:56)