Andrew W. Lo

¿Son los mercados racionales y eficientes, tal como asume la moderna teoría financiera, o son irracionales e ineficientes, como sostienen los economistas conductuales y como sugieren las burbujas y las crisis financieras?Los economistas no se ponen de acuerdo sobre si los inversores y los mercados son racionales y eficientes, tal y como supone la moderna teoria de las finanzas, o irracionales e ineficientes, tal y como creen los economistas del comportamiento y como sugieren las burbujas y las crisis financieras. De como se resuelva este debate depende que se gestionen bien las inversiones financieras. Con este libro Andrew W. Lo zanja esta cuestion dandole un nuevo marco conceptual: la Hipotesis de los Mercados Adaptativos, en la que la conviven racionalidad y la irracionalidad.Basandose en profundos conocimientos de psicologia, biologia evolutiva, neurociencia e inteligencia artificial, esta obra sostiene que la teoria de los mercados eficientes no es erronea sino incompleta. Cuando los mercados son inestables, los inversores reaccionan instintivamente, creando ineficiencias que otros pueden aprovechar. El nuevo paradigma del autor explica como la evolucion de las finanzas, que ocurre a la velocidad del pensamiento, condiciona el comportamiento de los inversores y de los mercados. Un hecho que ponen de ...

For over half a century, financial experts have regarded the movements of markets as a random walk - unpredictable meanderings akin to a drunkard''s unsteady gait - and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. In this text, the authors argue that markets are not completely random after all and that predictable components do exist. They provide an account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offer a glimpse into the financial technologies of the future. ''This book collects together and integrates an important body of research by two distinguished financial economists. The essays in the book explore the limits of the random walk model of security prices using insightful and rigorous statistical methods. The empirical findings are interpreted using modern theories of asset prices, and the resulting anomalies are used to challenge the theories in constructive ways. This book is highly recommended to academic and private-sector economists who are interested in understanding better the behavior of financial market returns.'' Lars Peter Hansen, University of Chicago

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.