Essays on the mathematics of market efficiency.

机译：关于市场效率的数学论文。

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In 1970, Fama defined an efficient market as one where prices always 'fully reflect' available information, but so far a rigorous definition has been lacking. This thesis addresses this issue by providing a definition based on economic equilibria. Efficiency is then characterized in terms of Merton's No Dominance condition together with absence of arbitrage in the sense of No Free Lunch With Vanishing Risk, as well as the existence of an equivalent (true) martingale measure for the discounted price process. The stability of the efficiency property with respect to changes in the information set is investigated. In particular, efficiency is preserved under information reduction, but not necessarily under information expansion. Next, checkable necessary and sufficient conditions for efficiency are provided for a large class of high dimensional stochastic volatility models. Finally, information reduction is studied in the inefficient setting. This leads to new results on filtration shrinkage for strict local martingales.

机译：1970年，Fama将有效市场定义为价格始终“完全反映”可用信息的市场，但到目前为止，尚缺乏严格的定义。本文通过提供基于经济均衡的定义来解决这个问题。然后，以默顿的“无支配地位”条件，无套利的形式来表征效率，这意味着没有免费的午餐而消失的风险，以及存在折价过程中等效的（true）mar测度。研究了效率属性相对于信息集变化的稳定性。特别是，在信息减少的情况下可以保持效率，而在信息扩展的情况下则不一定。接下来，为一大类高维随机波动率模型提供了可检查的必要且充分的效率条件。最后，在效率低下的情况下研究信息约简。这导致了严格的本地local过滤收缩的新结果。

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作者
Larsson, Martin Olov.;
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Cornell University.;

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授予单位 Cornell University.;
学科 Engineering General.;Applied Mathematics.;Economics Finance.
学位 Ph.D.
年度 2012
页码 111 p.
总页数 111
原文格式 PDF
正文语种 eng
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专利

1. Giandomenico Sica, editor. Essays on the Foundations of Mathematics and Logic [1.1]. Advanced Studies in Mathematics and Logic. Monza: Polimetrica International Scientific Publisher,* 2005. ISBN 88-7699-014-3. Pp. 351. [J] . Philosophia Mathematica . 2006,第2期

机译：Giandomenico Sica，编辑。关于数学和逻辑基础的论文[1.1]。数学和逻辑高级研究。蒙扎：Polimetrica国际科学出版社，*2005。ISBN88-7699-014-3。 Pp。 351。
2. Giandomenico Sica, editor. Essays on the Foundations of Mathematics and Logic [1.2]. Advanced Studies in Mathematics and Logic. Monza: Polimetrica International Scientific Publisher,* 2005. ISBN 88-7699-021-6. Pp. 120. [J] . Philosophia Mathematica . 2006,第2期

机译：Giandomenico Sica，编辑。关于数学和逻辑基础的论文[1.2]。数学和逻辑高级研究。蒙扎：Polimetrica国际科学出版社，*2005。ISBN88-7699-021-6。 Pp。 120。
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Essays on the mathematics of market efficiency.

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