21 citations · 45 across the 6 of their papers we have counts for
5 papers · 1 filter
Schizophrenic Representative Investors
Philip Z. Maymin
Representative investors whose behaviour is modelled by a deterministic finite automaton generate complexity both in the time series of each asset and in the cross-sectional correl…
Any Regulation of Risk Increases Risk
Philip Z. Maymin, Zakhar G. Maymin
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities…
The Hazards of Propping Up: Bubbles and Chaos
Philip Maymin
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood…
Regulation Simulation
Philip Maymin
A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the emp…
Markets are efficient if and only if P = NP
Philip Maymin
I prove that if markets are weak-form efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem who…