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Efficient market hypothesis and forecasting
International Journal of Forecasting, 2004The efficient market hypothesis gives rise to forecasting tests that mirror those adopted when testing the optimality of a forecast in the context of a given information set. However, there are also important differences arising from the fact that market efficiency tests rely on establishing profitable trading opportunities in ‘real time’.
Granger, Clive, Timmermann, Allan G
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The Efficient-Market Hypothesis
2022Prior to the financial crisis most economists, though happily not all, believed in a version of the Efficient Market Hypothesis (“EMH”) which held that financial markets were efficiently and thus always correctly priced. The financial crisis resulted in the EMH being discredited as, despite many warnings, it led central bankers to ignore the threat ...
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2017
The efficient market hypothesis (in its varying forms) has allowed for the creation of financial models based on share price movements ever since its inception. This chapter explores the impact of artificial intelligence (AI) on the efficient market hypothesis.
Tshilidzi Marwala, Evan Hurwitz
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The efficient market hypothesis (in its varying forms) has allowed for the creation of financial models based on share price movements ever since its inception. This chapter explores the impact of artificial intelligence (AI) on the efficient market hypothesis.
Tshilidzi Marwala, Evan Hurwitz
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1987
A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices. Formally, the market is said to be efficient with respect to some information set, ϕ, if security prices would be unaffected by revealing that information to all participants.
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A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices. Formally, the market is said to be efficient with respect to some information set, ϕ, if security prices would be unaffected by revealing that information to all participants.
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The Efficient Markets Hypothesis
1985The importance of expectations in economic theory has been emphasised in chapters 1 and 2, and this importance is reflected in the empirical literature in economics involving expectations variables. In this chapter and the next we consider single-equation studies while macroeconomic models as a whole are examined in chapter 6.
K. Holden, D. A. Peel, J. L. Thompson
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Rethinking the Efficient Markets Hypothesis
SSRN Electronic Journal, 2012We develop an adaptive learning game to rethink the efficient markets hypothesis using the stochastically stable state of this game to characterize a richer set of market states than those suggested by the hypothesis. In particular, the model predicts that the economy may follow a path leading to bubbles.
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The Efficient Markets Hypothesis
2007Abstract The efficient markets hypothesis is ”the simple statement that security prices fully reflect all available information”1. Empirical tests of this hypothesis require a precise definition of the term fully reflect. A security is a saleable right to receive a sequence of payments.
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