For more information about this meeting, contact Sergei Tabachnikov.
| Title: | The Meaning of Market Efficiency |
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| Seminar: | Department of Mathematics Colloquium |
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| Speaker: | Robert Jarrow, Cornell University |
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| Abstract: |
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| 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 |
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| Date: | 04 / 21 / 2011 |
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| Time: | 04:00pm - 05:00pm |
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