A natural linear model illustrating a mechanism for the assimilation of new facts on traded property’ prices is introduced. The model is useful in allure own right, as it provides a streamlined, yet credible, all-inclusive description of the existence. Further, the model is used as a tool for a hypothetical study of market effectiveness testing. This is obtained by forming certain display conditions under which new news is released and adjusted in asset prices on the individual hand, and, on the other hand, by record what established econometric experiment approaches conclude, about the hypothesis of display efficiency. Amongst remainder of something it is argued that contrary to the common belief, theoretically a chance walk in asset prices, under certain environments, could be guide inefficient markets. Furthermore, an enhancement of the artillery of statistical tests for advertise efficiency is proposed for one potential application of distinguishing forms of the suggested uninterrupted dynamic model and the possible benefits over the existing methods are explained. Last but not least, even though the conventional wording of market efficiency categorization is used, the projected model for the assimilation of new information in advantage prices is more conducive to a explicit rather than the existing unit of the mathematical system classification of display efficiency.
Author(s) Details:
Alexandros E. Milionis,
Department
of Statistics and Actuarial-Financial Mathematics, University of the Aegean,
Greece.
Please see the link here: https://stm.bookpi.org/AOBMER-V5/article/view/12423
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