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Algorithmic complexity theory and the relative efficiency of financial markets

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

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/8704/1/MPRA_paper_8704.pdf
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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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  1. Oh, Gabjin & Kim, Seunghwan & Eom, Cheoljun, 2007. "Market efficiency in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 209-212.
  2. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
  3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  4. Ching-Wei Tan, 1999. "Estimating the Complexity Function of Financial Time Series: An Estimation Based on Predictive Stochastic Complexity," Computing in Economics and Finance 1999 1143, Society for Computational Economics.
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