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|
|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
|Date:||04 / 21 / 2011|
|Time:||04:00pm - 05:00pm|