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Concept

Hypothèse des marchés financiers efficients

Publications associées (29)

Protecting Options in Global Markets: Evidence on the Use of Strategic Disclosure

Christopher Tucci, Jana Thiel, Tilo Peters

We examine the impact of globally diverse market operations on a firm’s choice to openly disclose some of its technology. We suggest that this strategic disclosure offers solutions to specific needs in the commercialization strategy of globally operating f ...

2015

Monitoring and prediction in Early Warning Systems (EWS) for rapid mass movements

Dani Or, Alessio Ferrari, Alexis Berne, Marc Schleiss

Rapid mass movements (RMM) pose a substantial risk to people and infrastructure. Reliable and cost-efficient measures have to be taken to reduce this risk. One of these measures includes establishing and advancing the State of Practice in the application o ...

Copernicus Publications2015

Efficient Analysis of Shielding Effectiveness of Metallic Rectangular Enclosures Using Unconditionally Stable Time-Domain Integral Equations

Juan Ramon Mosig, Michael Mattes, Hamidreza Karami

This paper proposes an efficient modeling technique for transient electromagnetic analysis of a rectangular metallic enclosure with multiple apertures, using the surface equivalent principle (SEP) and integral equations. The SEP is used to replace the aper ...

2014

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

An Algorithm for Testing the Efficient Market Hypothesis

The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average C ...

Public Library of Science2013

Essays in Information-Based Asset Pricing

Michael Nicolas Hasler

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...

EPFL2013

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin-Dufresne

Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined wi ...

2012

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...