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IJAR
2008
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13 years 11 months ago
The game-theoretic capital asset pricing model
Using Shafer and Vovk's game-theoretic framework for probability, we derive a capital asset pricing model from an efficient market hypothesis, with no assumptions about the b...
Vladimir Vovk, Glenn Shafer
AUSDM
2007
Springer
107views Data Mining» more  AUSDM 2007»
14 years 5 months ago
News Aware Volatility Forecasting: Is the Content of News Important?
The efficient market hypothesis states that the market incorporates all available information to provide an accurate valuation of the asset at any given time. However, most models...
Calum Robertson, Shlomo Geva, Rodney Wolff