The Experts below are selected from a list of 19422 Experts worldwide ranked by ideXlab platform
Burton G Malkiel - One of the best experts on this subject based on the ideXlab platform.
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reflections on the Efficient Market hypothesis 30 years later
The Financial Review, 2005Co-Authors: Burton G MalkielAbstract:In recent years financial economists have increasingly questioned the Efficient Market hypothesis. But surely if Market prices were often irrational and if Market returns were as predictable as some critics have claimed, then professionally managed investment funds should easily be able to outdistance a passive index fund. This paper shows that professional investment managers, both in The U.S. and abroad, do not outperform their index benchmarks and provides evidence that by and large Market prices do seem to reflect all available information.
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the Efficient Market hypothesis and its critics
Journal of Economic Perspectives, 2003Co-Authors: Burton G MalkielAbstract:Ageneration ago, the efe cient Market hypothesis was widely accepted by academic e nancial economists; for example, see Eugene Fama’ s (1970) ine uential survey article, “ Efe cient Capital Markets.” It was generally believed that securities Markets were extremely efe cient in ree ecting information about individual stocks and about the stock Market as a whole. The accepted view was that when information arises, the news spreads very quickly and is incorporated into the prices of securities without delay. Thus, neither technical analysis, which is the study of past stock prices in an attempt to predict future prices, nor even fundamental analysis, which is the analysis of e nancial information such as company earnings and asset values to help investors select “ undervalued” stocks, would enable an investor to achieve returns greater than those that could be obtained by holding a randomly selected portfolio of individual stocks, at least not with comparable risk. The efe cient Market hypothesis is associated with the idea of a “ random walk,” which is a term loosely used in the e nance literature to characterize a price series where all subsequent price changes represent random departures from previous prices. The logic of the random walk idea is that if the e ow of information is unimpeded and information is immediately ree ected in stock prices, then tomorrow’ s price change will ree ect only tomorrow’ s news and will be independent of the price changes today. But news is by dee nition unpredictable, and, thus, resulting price changes must be unpredictable and random. As a result, prices fully ree ect all known information, and even uninformed investors buying a diversie ed portfolio at the tableau of prices given by the Market will obtain a rate of return as generous as that achieved by the experts.
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Efficient Market hypothesis
1991Co-Authors: Burton G MalkielAbstract: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, o, if security prices would be unaffected by revealing that information to all participants. Moreover, efficiency with respect to an information set, o, implies that it is impossible to make economic profits by trading on the basis of o.
Lukas Saul - One of the best experts on this subject based on the ideXlab platform.
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a system dynamics model of bitcoin mining as an Efficient Market and the possibility of peak hash
Applied Economics and Finance, 2020Co-Authors: Davide Lasi, Lukas SaulAbstract:The mining of bitcoin is modeled using a system dynamics model that represents both the mechanism of coin creation and the adjustment of the network hash rate based on the economic incentive of mining. The results show that the past evolution of the network hash rate can be explained, to a large extent, by an Efficient Market hypothesis applied to the mining of blocks. The possibility of a decreasing trend in the network hash rate from the halving event of May 2020 is exposed, implying that the network may be close to ’peak hash’ if the price of bitcoin and the revenues from transaction fees will be insufficient to cover the operational expenditures of mining.
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a system dynamics model of bitcoin mining as an Efficient Market and the possibility of peak hash
arXiv: Cryptography and Security, 2020Co-Authors: Davide Lasi, Lukas SaulAbstract:The mining of bitcoin is modeled using system dynamics, showing that the past evolution of the network hash rate can be explained to a large extent by an Efficient Market hypothesis applied to the mining of blocks. The possibility of a decrease in the network hash rate from the next halving event (May 2020) is exposed, implying that the network may be close to 'peak hash', if the price of bitcoin and the revenues from transaction fees will remain at approximately the present level.
Sarah Mcgill - One of the best experts on this subject based on the ideXlab platform.
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freshwater saltwater and deepwater Efficient Market hypothesis versus behavioural finance
Journal of Economic Geography, 2013Co-Authors: Dariusz Wojcik, Nicholas Kreston, Sarah McgillAbstract:The Efficient Market hypothesis (EMH) and behavioral finance (BF) form the blame-hope axis of the ongoing soul-searching exercise in economics, which frequently refers to the ‘Chicago School’ and the ideological division between ‘freshwater’ and ‘saltwater’ universities. Citation analysis for 1965-2010 shows that these simple geographical anecdotes do not apply, as saltwater economists heavily cited the seminal EMH papers from the beginning, and vice versa. BF lags behind EMH in terms of the quantity, dynamics, scope, and international reach of citations. BF is far from stealing a march on the EMH, and the latter is still used as the benchmark.
Archie C Chapman - One of the best experts on this subject based on the ideXlab platform.
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computationally Efficient Market simulation tool for future grid scenario analysis
IEEE Transactions on Smart Grid, 2019Co-Authors: Shariq Riaz, Gregor Verbic, Archie C ChapmanAbstract:This paper proposes a computationally Efficient electricity Market simulation tool (MST) suitable for future grid scenario analysis. The Market model is based on a unit commitment (UC) problem and takes into account the uptake of emerging technologies, like demand response, battery storage, concentrated solar thermal generation, and HVDC transmission. To allow for a subsequent stability assessment, the MST requires an explicit representation of the number of online generation units, which affects power system inertia and reactive power support capability. These requirements render a full-fledged UC model computationally intractable, so we propose unit clustering, a rolling horizon approach, and constraint clipping to increase the computational efficiency. To showcase the capability of the proposed tool, we use a simplified model of the Australian National Electricity Market with different penetrations of renewable generation. The results are verified by a comparison to a more expressive and computationally intensive binary UC, which confirm the validity of the approach for long term future grid studies.
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computationally Efficient Market simulation tool for future grid scenario analysis
arXiv: Optimization and Control, 2017Co-Authors: Shariq Riaz, Gregor Verbic, Archie C ChapmanAbstract:The paper proposes a computationally Efficient electricity Market simulation tool (MST) suitable for future grid scenario analysis. The Market model is based on a unit commitment (UC) problem and takes into account the uptake of emerging technologies, like demand response, battery storage, concentrated solar thermal generation, and HVDC transmission lines. To allow for a subsequent stability assessment, the MST requires an explicit representation of the number of online generation units, which affects powers system inertia and reactive power support capability. These requirements render a fullfledged UC model computationally intractable, so we propose unit clustering, rolling horizon approach, and constraint reduction to increase the computational efficiency. To showcase the capability of the proposed tool, we use a simplified model of the Australian National Electricity Market with different penetrations of renewable generation. The results show that the number of online units resulting from the proposed tool is very close to the binary UC run over a week-long horizon, which is confirmed by the loadability and inertia analysis. That confirms the validity of the approach for long term future grid studies, where one is more interested in finding weak points in the system rather than in a detailed analysis of individual operating conditions.
William R Stewart - One of the best experts on this subject based on the ideXlab platform.
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Efficient Market clearing prices in Markets with nonconvexities
European Journal of Operational Research, 2005Co-Authors: Richard P Oneill, Paul Sotkiewicz, Benjamin F Hobbs, Michael H Rothkopf, William R StewartAbstract:This paper addresses the existence of Market clearing prices and the economic interpretation of strong duality for integer programs in the economic analysis of Markets with nonconvexities (indivisibilities). Electric power Markets in which nonconvexities arise from the operating characteristics of generators motivate our analysis; however, the results presented here are general and can be applied to other Markets in which nonconvexities are important. We show that the optimal solution to a linear program that solves the mixed integer program has dual variables that: (1) have the traditional economic interpretation as prices; (2) explicitly price integral activities; and (3) clear the Market in the presence of nonconvexities. We then show how this methodology can be used to interpret the solutions to nonconvex problems such as the problem discussed by Scarf [Journal of Economic Perspectives 8(4) (1994) 111].
