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BEGIN:VEVENT
DTSTAMP:20260625T070626Z
DTSTART;VALUE=DATE-TIME:20110209T130000
DTEND;VALUE=DATE-TIME:20110209T140000
SUMMARY:Complexity Forum: Ole Peters (Imperial)
TZID:Europe/London
UID:20110209-094d43d5385c299a01386c3bd8c571ec@warwick.ac.uk
CREATED:20110107T150805Z
DESCRIPTION:Speaker: Ole Peters (Department of Mathematics Imperial Colle
 ge London) Title: From ergodicity to stochastic market efficiency Abstra
 ct: Stochastic systems are ergodic if the frequencies at which states ar
 e visited approach a unique probability distribution in the long-time li
 mit. Here\, time averages of fluctuating quantities can be computed as e
 nsemble averages where states are weighted according to the unique proba
 bility distribution. If the probability distribution is not unique\, tim
 e averages will depend on initial conditions\; if the probability distri
 bution does not exist\, for instance in non-stationary processes\, it cl
 early cannot be used to weight ensemble members. In this case\, if ensem
 ble averages can be defined at all\, they need not be identical to time 
 averages. This is the case in geometric Brownian motion (GBM)\, a non-st
 ationary model commonly used in financial economics. In GBM the time ave
 rage of the growth rate differs from the ensemble average. Using ensembl
 e averages\, which are agnostic to fluctuations\, it is impossible to op
 timize risk-taking. Using time averages\, risk-taking can be optimized i
 n a meaningful objective way. Thus we can compute the optimal leverage f
 or an investment in an asset with given stochastic properties. This lead
 s to the concept of stochastic market efficiency: A stochastically effic
 ient market cannot be beaten by leveraging or deleveraging\, which place
 s strong constraints on the stochastic properties of markets. The predic
 tions of this theory are strongly confirmed by empirical studies. In con
 trast to the ordinary "price efficiency" of markets\, stochastic efficie
 ncy is a fully accountable theory\, in the sense of the word introduced 
 by Popper: The theory predicts its own imprecision and is thus meaningfu
 lly testable.
LOCATION:D1.07
CATEGORIES:MSc students,PhD Students,Seminar Room D1.07,forum
LAST-MODIFIED:20120709T145409Z
ORGANIZER;CN=Colm Connaughton:
END:VEVENT
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