英文标题：
《A Theory of Market Efficiency》
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作者：
Anup Rao
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最新提交年份：
2017
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英文摘要：
We introduce a mathematical theory called market connectivity that gives concrete ways to both measure the efficiency of markets and find inefficiencies in large markets. The theory leads to new methods for testing the famous efficient markets hypothesis that do not suffer from the joint-hypothesis problem that has plagued past work. Our theory suggests metrics that can be used to compare the efficiency of one market with another, to find inefficiencies that may be profitable to exploit, and to evaluate the impact of policy and regulations on market efficiency. A market\'s efficiency is tied to its ability to communicate information relevant to market participants. Market connectivity calculates the speed and reliability with which this communication is carried out via trade in the market. We model the market by a network called the trade network, which can be computed by recording transactions in the market over a fixed interval of time. The nodes of the network correspond to participants in the market. Every pair of nodes that trades in the market is connected by an edge that is weighted by the rate of trade, and associated with a vector that represents the type of item that is bought or sold. We evaluate the ability of the market to communicate by considering how it deals with shocks. A shock is a change in the beliefs of market participants about the value of the products that they trade. We compute the effect of every potential significant shock on trade in the market. We give mathematical definitions for a few concepts that measure the ability of the market to effectively dissipate shocks.
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中文摘要：
我们引入了一种称为市场连通性的数学理论，该理论为衡量市场效率和发现大型市场中的低效率提供了具体方法。这一理论为检验著名的有效市场假说带来了新的方法，这种假说不会受到过去困扰的联合假说问题的影响。我们的理论提出了一些指标，可以用来比较一个市场与另一个市场的效率，找出可能有利于利用的低效率，并评估政策和法规对市场效率的影响。市场的效率取决于其与市场参与者沟通相关信息的能力。市场连通性计算通过市场交易进行通信的速度和可靠性。我们通过一个称为交易网络的网络对市场进行建模，该网络可以通过记录固定时间间隔内的市场交易来计算。网络节点对应于市场参与者。市场上交易的每一对节点都由一条边连接，该边由交易率加权，并与表示买卖项目类型的向量相关联。我们通过考虑市场如何应对冲击来评估市场的沟通能力。令人震惊的是，市场参与者对所交易产品价值的信念发生了变化。我们计算每个潜在重大冲击对市场交易的影响。我们给出了一些概念的数学定义，这些概念衡量了市场有效消除冲击的能力。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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