Introduction
The efficient markets hypothesis underlies much of modern finance theory. It is under attack. We will introduce EMH, talk about it's properties and deficiencies, and introduce the latest pretender to the throne: the Adaptive Markets Hypothesis.
Length: 50 mins.
Click below to get handouts, lecture notes, slides, and links to further reading.
Slides
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Handouts
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Links
Andrew Lo, The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective, Journal of Portfolio Management, 30,(September Issue), 2004, pp. 15 - 29
Paul A. Samuelson, Mathematics of Speculative Price, SIAM Review, Vol, 15, No.Samuelson1973a.pdf 1, Jan 1973, pp 1–42
[Download Samuelson_1973a.pdf]
Paul A. Samuelson, Proof that Properly Discounted Present Values of Assets VIbrate Randomnly, The Bell Journal of Economics and Management Science, Vol. 4, No. 2, 1973, pp. 369–374.
[Download Samuelson_1973b.pdf]
Fischer Black, Noise, Journal of Finance, Vol. 41, Issue 3, Papers and Proceedings of the Forty Fourth Annual Meeting of the American Finance Association, December 20-30, (Jul. 1986), 529–543.