Algorithmic complexity theory and the relative efficiency of financial markets
AbstractFinancial 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 8704.
Date of creation: 10 May 2008
Date of revision:
financial efficiency; algorithmic complexity;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-17 (All new papers)
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