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Essays on the mathematics of market ...

Larsson, Martin Olov.

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Essays on the mathematics of market efficiency.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays on the mathematics of market efficiency./
Author:	Larsson, Martin Olov.
Description:	111 p.
Notes:	Source: Dissertation Abstracts International, Volume: 74-03(E), Section: B.
Contained By:	Dissertation Abstracts International74-03B(E).
Subject:	Applied Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3531038
ISBN:	9781267717184

Essays on the mathematics of market efficiency.
Larsson, Martin Olov.

Essays on the mathematics of market efficiency. - 111 p.

Source: Dissertation Abstracts International, Volume: 74-03(E), Section: B.

Thesis (Ph.D.)--Cornell University, 2012.

In 1970, Fama defined an efficient market as one where prices always ‘fully reflect’ available information, but so far a rigorous definition has been lacking. This thesis addresses this issue by providing a definition based on economic equilibria. Efficiency is then characterized in terms of Merton’s No Dominance condition together with absence of arbitrage in the sense of No Free Lunch With Vanishing Risk, as well as the existence of an equivalent (true) martingale measure for the discounted price process. The stability of the efficiency property with respect to changes in the information set is investigated. In particular, efficiency is preserved under information reduction, but not necessarily under information expansion. Next, checkable necessary and sufficient conditions for efficiency are provided for a large class of high dimensional stochastic volatility models. Finally, information reduction is studied in the inefficient setting. This leads to new results on filtration shrinkage for strict local martingales.

ISBN: 9781267717184Subjects--Topical Terms:

1669109
Applied Mathematics.

Essays on the mathematics of market efficiency.
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020 $a 9781267717184
035 $a (UMI)AAI3531038
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040 $a UMI $c UMI
100 1 $a Larsson, Martin Olov. $3 2092160
245 1 0 $a Essays on the mathematics of market efficiency.
300 $a 111 p.
500 $a Source: Dissertation Abstracts International, Volume: 74-03(E), Section: B.
500 $a Advisers: Robert A. Jarrow; Sidney I. Resnick.
502 $a Thesis (Ph.D.)--Cornell University, 2012.
520 $a In 1970, Fama defined an efficient market as one where prices always ‘fully reflect’ available information, but so far a rigorous definition has been lacking. This thesis addresses this issue by providing a definition based on economic equilibria. Efficiency is then characterized in terms of Merton’s No Dominance condition together with absence of arbitrage in the sense of No Free Lunch With Vanishing Risk, as well as the existence of an equivalent (true) martingale measure for the discounted price process. The stability of the efficiency property with respect to changes in the information set is investigated. In particular, efficiency is preserved under information reduction, but not necessarily under information expansion. Next, checkable necessary and sufficient conditions for efficiency are provided for a large class of high dimensional stochastic volatility models. Finally, information reduction is studied in the inefficient setting. This leads to new results on filtration shrinkage for strict local martingales.
590 $a School code: 0058.
650 4 $a Applied Mathematics. $3 1669109
650 4 $a Economics, Finance. $3 626650
650 4 $a Engineering, General. $3 1020744
690 $a 0364
690 $a 0508
690 $a 0537
710 2 $a Cornell University. $3 530586
773 0 $t Dissertation Abstracts International $g 74-03B(E).
790 1 0 $a Jarrow, Robert A., $e advisor
790 1 0 $a Resnick, Sidney I., $e advisor
790 $a 0058
791 $a Ph.D.
792 $a 2012
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3531038