Quant Congress USA: Market efficiency is testable, claims Jarrow
Top quant claims traditional pricing models assume markets to be efficient – and says he can prove they're not
The efficient market hypothesis is empirically testable, contrary to long held assumptions, according to Robert Jarrow, professor of finance and economics at Cornell University.
Speaking at Risk's Quant Congress USA conference in New York last week, Jarrow noted that traditional financial models implicitly assume a form of the efficient market hypothesis, and claimed his recent theoretical work provides a simple test to determine whether a given market is efficient - according to his definitions
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