PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Sergei Tabachnikov.

Title:The Meaning of Market Efficiency
Seminar:Department of Mathematics Colloquium
Speaker:Robert Jarrow, Cornell University
Abstract:
An efficient market is defined as a market where prices 'fully reflect' available information. This definition is intuitive and not easily quantified for empirical testing. We provide a mathematical formalization of this definition and a characterization relating to equilibrium models, profitable trading strategies, and equivalent martingale measures. This characterization facilitates new insights and theorems relating to efficient markets. In particular, we overcome a well-known limitation in testing for market efficiency, i.e. the need to assume a particular equilibrium asset pricing model, called the joint-hypothesis or bad-model problem. Other theorems useful for both the testing of market efficiency and the pricing of derivatives are also provided. This is joint work with Martin Larsson.

Room Reservation Information

Room Number:MB114
Date:04 / 21 / 2011
Time:04:00pm - 05:00pm