At Analytics Research Group;
We are of the view that the market efficiency debate plays an important role in the decision making between active and passive investment managers. Active management theory argues that less efficient markets provide opportunities for outperformance by skilled managers.
The debate about Efficient Market Hypothesis (EMH) has resulted in thousands of empirical studies attempting to determine whether specific markets are in fact "efficient" and if so to what degree. Researchers have uncovered numerous stock market anomalies that seem to contradict the EMH.
The search for anomalies is essentially a search for systems or patterns that can be used to outperform passive and/or buy-and-hold strategies. Theoretically, once an anomaly is discovered, active managers attempt to profit by exploiting it straight away.
The aim of ARG research group is basically to search for empirical models that can exploit effectively inefficiencies and miss-pricings in financial markets in order to generate a rate of return that is always higher than the market return.
We develop cutting edge researches in the area of equity, fixed income, and commodity markets including hedge fund investing. We believe that the market can be beaten if and only if advanced skills are utilized. That is why we have put at our readers' disposal all types of investment skills and techniques needed to outperform the market. These are methods and behavioral models used by skilled managers that for years have earned the luxury of respecting their investors.
This is exactly what we are doing at Analytics ResearchGroup!!! We develop models that take into account not only the past information but also and most importantly the psychological aspect of market participants.
New financial econometric models for market trend analysis and forecasting as well as cutting edge techniques in portfolio selection and risk management are all discussed in this platform.
This is critically important for active money managers who are continuously making investment decisions under uncertainty. We therefore present some of fundamental concepts of uncertainty theory recently developed by elite financial economists namely Prospect and credibility fuzzy measure theories.
We emphasize the importance of up-dating financial models as new and private information come at the disposal of the decision maker. We therefore discuss the use of Bayesian asset pricing model as well as the Bayesian portfolio selection under asymmetric information.
We commit ourselves to helping readers especially students in financial economics to understand the implications of fuzzy and Bayesian theories in decision making under uncertainty. We explain the dynamics behind portfolio selection, risk management and investment techniques using Bayesian, fuzzy set, and prospect theories.