The Efficient Market Hypothesis Revisited
Author: Nuray Ergül Kondak
Publisher:
Published: 1997-01-01
Total Pages: 204
ISBN-13: 9789757539803
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The Ascent of Market Efficiency
Author: Simone Polillo
Publisher: Cornell University Press
Published: 2020-08-15
Total Pages: 139
ISBN-13: 1501750380
DOWNLOAD EBOOKThe Ascent of Market Efficiency weaves together historical narrative and quantitative bibliometric data to detail the path financial economists took in order to form one of the central theories of financial economics—the influential efficient-market hypothesis—which states that the behavior of financial markets is unpredictable. As the notorious quip goes, a blindfolded monkey would do better than a group of experts in selecting a portfolio of securities, simply by throwing darts at the financial pages of a newspaper. How did such a hypothesis come to be so influential in the field of financial economics? How did financial economists turn a lack of evidence about systematic patterns in the behavior of financial markets into a foundational approach to the study of finance? Each chapter in Simone Polillo's fascinating meld of economics, science, and sociology focuses on these questions, as well as on collaborative academic networks, and on the values and affects that kept the networks together as they struggled to define what the new field of financial economics should be about. In doing so, he introduces a new dimension—data analysis—to our understanding of the ways knowledge advances. There are patterns in the ways knowledge is produced, and The Ascent of Market Efficiency helps us make sense of these patterns by providing a general framework that can be applied equally to other social and human sciences.
Agent-Based Modeling
Author: Norman Ehrentreich
Publisher: Springer Science & Business Media
Published: 2007-10-30
Total Pages: 238
ISBN-13: 3540738789
DOWNLOAD EBOOKThis book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.
Efficiency and Anomalies in Stock Markets
Author: Wing-Keung Wong
Publisher: Mdpi AG
Published: 2022-02-17
Total Pages: 232
ISBN-13: 9783036530802
DOWNLOAD EBOOKThe Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
The Econometrics of Financial Markets
Author: John Y. Campbell
Publisher: Princeton University Press
Published: 2012-06-28
Total Pages: 630
ISBN-13: 1400830214
DOWNLOAD EBOOKThe past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Inefficient Markets
Author: Andrei Shleifer
Publisher: OUP Oxford
Published: 2000-03-09
Total Pages: 308
ISBN-13: 0191606898
DOWNLOAD EBOOKThe efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
The Efficient Market Hypothesis Revisited
Author: Nuray Ergül Kondak
Publisher:
Published: 1995
Total Pages: 270
ISBN-13:
DOWNLOAD EBOOKClimatopolis
Author: Matthew E. Kahn
Publisher: Basic Books (AZ)
Published: 2013-06-25
Total Pages: 290
ISBN-13: 0465063837
DOWNLOAD EBOOKOne of the worldÕs leading urban and environmental economists tells us what our lives will be like when climate change arrives
Complex Systems in Finance and Econometrics
Author: Robert A. Meyers
Publisher: Springer Science & Business Media
Published: 2010-11-03
Total Pages: 919
ISBN-13: 1441977007
DOWNLOAD EBOOKFinance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
The Toolbox Revisited
Author: Clifford Adelman
Publisher:
Published: 2006
Total Pages: 232
ISBN-13:
DOWNLOAD EBOOKThe Toolbox Revisited is a data essay that follows a nationally representative cohort of students from high school into postsecondary education, and asks what aspects of their formal schooling contribute to completing a bachelor's degree by their mid-20s. The universe of students is confined to those who attended a four-year college at any time, thus including students who started out in other types of institutions, particularly community colleges.
