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Market Orders and Market Efficiency
The Journal of Finance, 1997ABSTRACTThis work compares a dealer market and a limit‐order book. Dealers commonly observe order flow and collect information from multiple market orders. They may be better informed than other traders, although they do not earn rents from this information.
Brown, David P, Zhang, Zhi Ming
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Information Efficiency in the Cryptocurrency Market:The Efficient-Market Hypothesis
Journal of Computer Information Systems, 2021This study tested the efficient-market hypothesis (EMH) to examine information efficacy in the cryptocurrency market.
Ho-Jun Kang, Sang-Gun Lee, Soo-Yong Park
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THE MEANING OF MARKET EFFICIENCY
Mathematical Finance, 2011Fama defined an efficient market as one in which prices always “fully reflect” available information. This paper formalizes this definition and provides various characterizations relating to equilibrium models, profitable trading strategies, and equivalent martingale measures.
Jarrow, Robert A., Larsson, Martin
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The Efficient Market Hypothesis and Electricity Market Efficiency Test
2005 IEEE/PES Transmission & Distribution Conference & Exposition: Asia and Pacific, 2005Market efficiency is one of the primary design objectives of an electricity market as well as for other commodity markets. The Efficient Market Hypothesis (EMH) has been applied to many other markets. However, there are very little research has been done on electricity market efficiency testing.
Lu, Z., Dong, Z. Y., Sanderson, P. M.
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Liquidity and market efficiency☆
Journal of Financial Economics, 2007Abstract Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal ...
Chordia, Tarun +2 more
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On the efficiency of markets for managers [PDF]
Economic Theory, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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Is the Stock Market Efficient?
Science, 1989A stock market is said to be efficient if it accurately reflects all relevant information in determining security prices. Critics have asserted that share prices are far too volatile to be explained by changes in objective economic events—the October 1987 crash being a case in point. Although the evidence is not unambiguous, reports of the death of the
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Measuring and Monitoring the Efficiency of Markets
SSRN Electronic Journal, 2017Market efficiency is measured by arbitrage proximity. The level of efficiency is calibrated by extent of a distortion of probability required to neutralize the drift. Simulations of bilateral gamma models estimated from past returns deliver for each asset on each day an empirical acceptability index.
Madan, Dilip B. +2 more
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