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0answers
19 views

autocorrelation at milli- or nanosecond timescales [closed]

the efficient market hypothesis states that new information is processed within an infinitesimal time interval, so that all prices (almost) instantly adjust to an "optimal" price. Therefore it is not ...
3
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1answer
89 views

What are the empirical limitations to testing market efficiency?

I have encountered a rather elegant argument about the limitations of empirically testing for market efficiency, involving the central point that we do not know whether a result is due to the "true ...
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4answers
359 views

Does Modern Portfolio Theory align with EMH?

I came to the conclusion that in literature Markowitz' Portfolio Theory is believed to be compliant with the Efficient Market Hypothesis. The weakest form states that the current price fully ...
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2answers
159 views

Martingale Stock Prices

In http://www.principlesofforecasting.com/files/pdf/Granger-stockmarket.pdf Granger makes survey of some arguments. In section I there are two hypothesis H01, and H02. H01: Stock prices are a ...
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1answer
141 views

Assumptions based on non-martingale?

Quantitative finance formular are mostly based on martingales, Poisson jump, GBM, CEV, etc.. The logic behind it is that martingale means the future could not be predicted, or, EMH (Efficient-market ...
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4answers
5k views

What is a martingale?

What is a martingale and how it compares with a random walk in the context of the Efficient Market Hypothesis?