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

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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Year of publication:	2008-10-16
Authors:	Giglio, Ricardo ; Matsushita, Raul ; Figueiredo, Annibal ; Gleria, Iram ; Da Silva, Sergio
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	financial market efficiency \| algorithmic complexity theory

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G14 - Information and Market Efficiency; Event Studies ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005623558