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Beating the Market?

URN to cite this document: urn:nbn:de:bvb:703-epub-3830-6

Title data

Baumann, Michael Heinrich:
Beating the Market?
Universität Bayreuth
Bayreuth , 2018 . - 59 S.
DOI der Verlagsversion: https://doi.org/10.1007/s10203-021-00361-8

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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 weakest 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. 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. 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. 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 - International Economics and Finance Profile Fields Profile Fields > Advanced Fields Profile Fields > Advanced Fields > Nonlinear Dynamics Research Institutions Research Institutions > Central research institutes Research Institutions > Central research institutes > Bayreuth Research Center for Modeling and Simulation - MODUS
Language:	English
Originates at UBT:	Yes
URN:	urn:nbn:de:bvb:703-epub-3830-6
Date Deposited:	17 Aug 2018 09:57
Last Modified:	18 Nov 2021 12:31
URI:	https://epub.uni-bayreuth.de/id/eprint/3830

Available Versions of this Item

Beating the Market? : A Mathematical Puzzle to Market Efficiency. (deposited 23 Oct 2017 06:41)
- Beating the Market? (deposited 17 Aug 2018 09:57) [Currently Displayed]
  - Beating the Market? (deposited 13 Feb 2019 10:12)

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