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

Giglio, Ricardo and Matsushita, Raul and Figueiredo, Annibal and Gleria, Iram and Da Silva, Sergio (2008): Algorithmic complexity theory and the relative efficiency of financial markets - Updated.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: financial market efficiency; algorithmic complexity theory
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling

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