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Algorithmic complexity theory and the relative efficiency of financial markets - Updated

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  • Giglio, Ricardo
  • Matsushita, Raul
  • Figueiredo, Annibal
  • Gleria, Iram
  • Da Silva, Sergio

Abstract

Financial economists usually assess market efficiency in absolute terms. This is to be viewed as a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. We employ such an approach in order to rank 36 stock exchanges and 20 US dollar exchange rates in terms of their relative efficiency.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 11150.

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Date of creation: 16 Oct 2008
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Handle: RePEc:pra:mprapa:11150

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Keywords: financial market efficiency; algorithmic complexity theory;

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