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Algorithmic complexity theory and the relative efficiency of financial markets

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

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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, 37 individual company stocks, and 19 US dollar exchange rates in terms of their relative efficiency.

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File URL: http://mpra.ub.uni-muenchen.de/8704/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 8704.

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Date of creation: 10 May 2008
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Handle: RePEc:pra:mprapa:8704

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Related research
Keywords: financial efficiency algorithmic complexity

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Klepper, Steven & Simons, Kenneth L, 1997. "Technological Extinctions of Industrial Firms: An Inquiry into Their Nature and Causes," Industrial and Corporate Change, Oxford University Press, vol. 6(2), pages 379-460, March.
  2. Andrea Bonaccorsi & Paola Giuri, 2000. "The long term evolution of vertically-related industries," LEM Papers Series 2000/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
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This page was last updated on 2008-11-18.

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