The relative efficiency of stockmarkets
AbstractFinancial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank 36 stock exchanges and 37 individual company stocks in terms of their relative efficiency.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 7 (2008)
Issue (Month): 6 ()
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Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
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- Olivier Brandouy & Jean-Paul Delahaye & Lin Ma & Hector Zenil, 2012. "Algorithmic Complexity of Financial Motions," ASSRU Discussion Papers, ASSRU - Algorithmic Social Science Research Unit 1204, ASSRU - Algorithmic Social Science Research Unit.
- Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2011. "New Procedures for Testing Whether Stock Price Processes are Martingales," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 37(1), pages 67-88, January.
- Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Espinosa-Paredes, Gilberto, 2012. "Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(22), pages 5643-5647.
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