Hyun-U Sohn’s primary research interest is in economic theory. He aims at adapting nonstandard (from an economist’s viewpoint) results and tools to reevaluate existing economic models, esp. pertaining to expectations and aggregation of heterogeneous agents. A Korean citizen born in Germany, he holds a Ph.D. from ETH Zurich, a licentiate from the University of St. Gallen, and the Abitur from the Canisius Kolleg in Berlin. Having previously worked in the financial industry, he is also a CFA and FRM charterholder.
Hyun-U Sohn
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Bubbles as violations of efficient time-scales
It is commonly overlooked that the concept of market efficiency embowers a time-dimension. Illustrating with an example from the class of persistent random walks, we show that a price process can be a martingale on one time-scale but inefficient on another.