Is It Real, or Is It Randomized?: A Financial Turing Test

We construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (http://arora.ccs.neu.edu) where players are challenged to distinguish actual financial market returns from random temporal permutations of those returns. We find overwhelming statistical evidence (p-values no greater than 0.5%) that subjects can consistently distinguish between the two types of time series, thereby refuting the widespread belief that financial markets "look random." A key feature of the experiment is that subjects are given immediate feedback regarding the validity of their choices, allowing them to learn and adapt. We suggest that such novel interfaces can harness human capabilities to process and extract information from financial data in ways that computers cannot.Comment: 12 pages, 6 figure

Can we talk about low informational efficiency in the Casablanca Stock Exchange? “Literature review”

Several researchers have adopted the informational efficiency of financial markets as a research subject and the basis of a lot of studies. The large number of studies carried out in this field proves the importance of this theme in the academic world. However few studies are devoted to the Moroccan financial market. It is for this reason that we decided to elaborate this work in order to test the informational efficiency of the Casablanca Stock Exchange. Fama classified informational efficiency into three forms (strong, semi-strong and weak). Thus, this work is devoted mainly to its weak form. We set three steps to carry out this study: Present the theory of the informational efficiency of the financial markets, Define all the tests used in the weak form and present the main bases of the Casablanca Stock Exchang

Fiancial Innovation, Structuring and Risk Transfer

These lecture notes are about financial innovations. We ask why are there some innovation and how is an innovative idea realized. This forces us to consider practical and structural aspects (regulations, taxation, markets) as key drivers of innovations and also basic formal aspects in valuation. Contents: Overview: Taxes and Regulation, Technology, Who Innovates, Life Cycle, Pricing and Hedging Discount Factors and No Arbitrage Investment: Rule Bases, Alpha, Beta, View and Trade, Fund Industry, Portfolio Theory Swaps and Financial Markets: IRS, TRS, ALM, ISDA Retail Structured Products Real Estate Asset Class, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricin

Fiancial Innovation, Structuring and Risk Transfer

These lecture notes are about financial innovations. We ask why are there some innovation and how is an innovative idea realized. This forces us to consider practical and structural aspects (regulations, taxation, markets) as key drivers of innovations and also basic formal aspects in valuation. Contents: Overview: Taxes and Regulation, Technology, Who Innovates, Life Cycle, Pricing and Hedging Discount Factors and No Arbitrage Investment: Rule Bases, Alpha, Beta, View and Trade, Fund Industry, Portfolio Theory Swaps and Financial Markets: IRS, TRS, ALM, ISDA Retail Structured Products Real Estate Asset Class, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricin