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Beating the Market?

URN to cite this document: urn:nbn:de:bvb:703-epub-4178-0

Title data

Baumann, Michael Heinrich:
Beating the Market?
Universität Bayreuth
Bayreuth , 2018 . - 61 S.

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Project information

Project financing: Bundesministerium für Bildung und Forschung
Hanns-Seidel-Stiftung
Promotionsstipendium

Abstract

The efficient market hypothesis is highly discussed - supported and criticized - in economic literature. In its strongest form, it states that there are no price trends. When weakening the non-trending assumption only a little to arbitrary short, small, and fully unknown trends, I mathematically prove, for a specific class of control-based trading strategies, positive expected gains. These strategies are model-free, i.e., a trader neither has to estimate market parameters as the trend's sign nor has to think about predictable patterns, etc. That means, since the trader does not have to know any trend, even trends too small to find them are enough to beat the market. Adjustments for risk and comparisons with buy-and-hold strategies do not satisfactorily solve the problem. In addition, in an exemplary backtesting study, when transaction costs and bid-ask-spreads are taken into account, I still observe, on average, positive gains. In this work, I bring together the economists' view on efficient markets and the engineers' view on feedback trading.

Further data

Item Type: Preprint, postprint
Keywords: Technical Analysis; Efficient Market Hypothesis; Robust Positive Expectation Property; Simultaneously Long Short Trading; Control-based Trading Strategies
Subject classification: JEL codes C02, G11, G14
MSC 91G10, 91G99, 91B70
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Institutions of the University: Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I
Profile Fields
Profile Fields > Advanced Fields
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions
Research Institutions > Research Centres
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-4178-0
Date Deposited: 13 Feb 2019 10:12
Last Modified: 14 Mar 2019 13:50
URI: https://epub.uni-bayreuth.de/id/eprint/4178

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