Author: Edward E. Williams Publisher: World Scientific ISBN: 9811207798 Category : Efficient market theory Languages : en Pages : 197
Book Description
Preface -- Fraud, lies, and statistics -- The early history of modern financial economics -- The birth of the efficient market hypothesis -- Earlier views of market efficiency -- The impact of information and regulation on market efficiency -- Tests of the EMH -- Anomalies -- The capital asset pricing model -- Beyond the CAPM -- Conclusions -- References.
Author: Edward E Williams Publisher: World Scientific ISBN: 9811207801 Category : Business & Economics Languages : en Pages : 197
Book Description
This book is about an intellectual fraud, one that has become part of legal doctrine that has greatly influenced decisions all the way up to the United States Supreme Court. The 'efficient market hypothesis' (EMH), born from the Random Walk theory, started out as an honest attempt to improve insights into how financial markets work, but eventually became almost a religion that every financial economist had to buy into, or risk professional crucifixion. The EMH began over a half century ago. It posits that share prices reflect all available market information, and that it is impossible to consistently outperform the market. This theory dominated research in the academic financial community from the outset, and has continued to do so for decades. Meanwhile, the evidence for above-average profit-making opportunities in the markets has been unfairly suppressed.Written for practitioners in the business, finance and legal industries, this book outlines the major issues that gave rise to the fraud, focusing on the role of statistics in the rise of what the authors call the 'New Finance.' It details the developments and results of the exclusion of other theories from efficient markets research and highlights the problems arising from a dogmatic adherence to EMH.
Author: Andrew W. Lo Publisher: Princeton University Press ISBN: 1400829097 Category : Business & Economics Languages : en Pages : 449
Book Description
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Author: Brian H. Kaye Publisher: John Wiley & Sons ISBN: 3527615989 Category : Technology & Engineering Languages : en Pages : 452
Book Description
Fractal geometry is revolutionizing the descriptive mathematics of applied materials systems. Rather than presenting a mathematical treatise, Brian Kaye demonstrates the power of fractal geometry in describing materials ranging from Swiss cheese to pyrolytic graphite. Written from a practical point of view, the author assiduously avoids the use of equations while introducing the reader to numerous interesting and challenging problems in subject areas ranging from geography to fine particle science. The second edition of this successful book provides up-to-date literature coverage of the use of fractal geometry in all areas of science. From reviews of the first edition: "...no stone is left unturned in the quest for applications of fractal geometry to fine particle problems....This book should provide hours of enjoyable reading to those wishing to become acquainted with the ideas of fractal geometry as applied to practical materials problems." MRS Bulletin
Author: Michael F Shlesinger Publisher: World Scientific ISBN: 9811232822 Category : Mathematics Languages : en Pages : 214
Book Description
This volume comprises the author's account of the development of novel results in random walk theory and its applications during the fractal and chaos revolutions. The early history of probability is presented in an engaging manner, and peppered with pitfalls and paradoxes. Readers will find the introduction of Paul Lévy's work via Mandelbrot's Lévy flights which are featured uniquely as Weierstrass and Riemann random walks.Generalizations to coupled memories, internal states and fractal time are introduced at the level for graduate students. Mathematical developments are explained including Green's functions, inverse Mellin transforms, Jacobians, and matrix methods. Applications are made to anomalous diffusion and conductivity in amorphous semiconductors and supercooled liquids. The glass transition is discussed especially for pressure effects.All along the way, personal stories are recounted and special appreciations are made to Elliott Montroll and Harvey Scher for their ever-expanding influence on the field of non-equilibrium anomalous processes that now are found in topics including disordered materials, water table processes, animal foraging, blinking quantum dots, rotating flows, optical lattices, dynamical strange attractors and strange kinetics.
Author: Burton Gordon Malkiel Publisher: W. W. Norton & Company ISBN: 9780393320404 Category : Business & Economics Languages : en Pages : 508
Book Description
A "classic (that) has set thousands of investors on a straight path since it was first published" ("Chicago Tribune"), this gimmick-free, irreverent, and vastly informative guide shows how to navigate the turbulence on Wall Street and beat the pros at their own game.
Author: Burton G. Malkiel Publisher: W. W. Norton & Company ISBN: 0393066371 Category : Business & Economics Languages : en Pages : 453
Book Description
The million-copy bestseller, revised and updated with new investment strategies for retirement and the insights of behavioral finance. Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, here is the best-selling, authoritative, and gimmick-free guide to investing. Burton Malkiel evaluates the full range of investment opportunities, from stocks, bonds, and money markets to real estate investment trusts and insurance, home ownership, and tangible assets such as gold and collectibles. This edition includes new strategies for rearranging your portfolio for retirement, along with the book’s classic life-cycle guide to investing, which matches the needs of investors in any age bracket. A Random Walk Down Wall Street long ago established itself as a must-read, the first book to purchase before starting a portfolio. So whether you want to brief yourself on the ways of the market before talking to a broker or follow Malkiel’s easy steps to managing your own portfolio, this book remains the best investing guide money can buy.
Author: David E. Handelman Publisher: Springer ISBN: 3540479511 Category : Mathematics Languages : en Pages : 148
Book Description
Emanating from the theory of C*-algebras and actions of tori theoren, the problems discussed here are outgrowths of random walk problems on lattices. An AGL (d,Z)-invariant (which is a partially ordered commutative algebra) is obtained for lattice polytopes (compact convex polytopes in Euclidean space whose vertices lie in Zd), and certain algebraic properties of the algebra are related to geometric properties of the polytope. There are also strong connections with convex analysis, Choquet theory, and reflection groups. This book serves as both an introduction to and a research monograph on the many interconnections between these topics, that arise out of questions of the following type: Let f be a (Laurent) polynomial in several real variables, and let P be a (Laurent) polynomial with only positive coefficients; decide under what circumstances there exists an integer n such that Pnf itself also has only positive coefficients. It is intended to reach and be of interest to a general mathematical audience as well as specialists in the areas mentioned.
Author: Mainzer Klaus Publisher: World Scientific ISBN: 9813225505 Category : Mathematics Languages : en Pages : 472
Book Description
In the 21st century, digitalization is a global challenge of mankind. Even for the public, it is obvious that our world is increasingly dominated by powerful algorithms and big data. But, how computable is our world? Some people believe that successful problem solving in science, technology, and economies only depends on fast algorithms and data mining. Chances and risks are often not understood, because the foundations of algorithms and information systems are not studied rigorously. Actually, they are deeply rooted in logics, mathematics, computer science and philosophy. Therefore, this book studies the foundations of mathematics, computer science, and philosophy, in order to guarantee security and reliability of the knowledge by constructive proofs, proof mining and program extraction. We start with the basics of computability theory, proof theory, and information theory. In a second step, we introduce new concepts of information and computing systems, in order to overcome the gap between the digital world of logical programming and the analog world of real computing in mathematics and science. The book also considers consequences for digital and analog physics, computational neuroscience, financial mathematics, and the Internet of Things (IoT). Contents: Introduction Basics of Computability Hierarchies of Computability Constructive Proof Theory Computational Mathematics and Digital Information Systems Intuitionistic Mathematics and Human Creativity Proof Mining bridging Logic, Mathematics, and Computer Science Reverse Mathematics Bridging Logic, Mathematics, and Computer Science From Intuitionistic to Homotopy Type Theory — Bridging Logic, Mathematics, and Computer Science Real Computability and Real Analysis Complexity Theory of Real Computing Real Computing and Neural Networks Complexity of Algorithmic Information Complexity of Information Dynamics Digital and Real Physics Digital and Real Computing in the Social World Philosophical Outlook Readership: Undergraduate and graduate students, scientists and readers who are interested in foundational, interdisciplinary, and philosophical questions of mathematics, computer science, and science in general. Keywords: Computability;Complexity;Constructive Mathematics;Proof Mining;Real Computing;Analog Networks;Information System;Digital PhysicsReview: Key Features: Compact introduction into the foundations of modern mathematics and computer science Bridging the gap between digital, real and analog computing by new concepts of information systems Consequences in natural and social sciences with respect to scientific computing
Author: Gregory F. Lawler Publisher: American Mathematical Soc. ISBN: 0821848291 Category : Mathematics Languages : en Pages : 170
Book Description
The heat equation can be derived by averaging over a very large number of particles. Traditionally, the resulting PDE is studied as a deterministic equation, an approach that has brought many significant results and a deep understanding of the equation and its solutions. By studying the heat equation and considering the individual random particles, however, one gains further intuition into the problem. While this is now standard for many researchers, this approach is generally not presented at the undergraduate level. In this book, Lawler introduces the heat equations and the closely related notion of harmonic functions from a probabilistic perspective. The theme of the first two chapters of the book is the relationship between random walks and the heat equation. This first chapter discusses the discrete case, random walk and the heat equation on the integer lattice; and the second chapter discusses the continuous case, Brownian motion and the usual heat equation. Relationships are shown between the two. For example, solving the heat equation in the discrete setting becomes a problem of diagonalization of symmetric matrices, which becomes a problem in Fourier series in the continuous case. Random walk and Brownian motion are introduced and developed from first principles. The latter two chapters discuss different topics: martingales and fractal dimension, with the chapters tied together by one example, a random Cantor set. The idea of this book is to merge probabilistic and deterministic approaches to heat flow. It is also intended as a bridge from undergraduate analysis to graduate and research perspectives. The book is suitable for advanced undergraduates, particularly those considering graduate work in mathematics or related areas.
Author: Edward E. Williams
Author: Edward E Williams
Author: Andrew W. Lo
Author: Brian H. Kaye
Author: Michael F Shlesinger
Author: Burton Gordon Malkiel
Author: Burton G. Malkiel
Author: David E. Handelman
Author: Mainzer Klaus
Author: Gregory F. Lawler