Algorithmic complexity theory and the relative efficiency of financial markets

被引：24
|
作者：
Giglio, R. [1 ]
Matsushita, R. [2 ]
Figueiredo, A. [3 ]
Gleria, I. [4 ]
Da Silva, S. [1 ]
机构：
[1] Univ Fed Santa Catarina, Dept Econ, BR-88049970 Florianopolis, SC, Brazil
[2] Univ Brasilia, Dept Stat, BR-70910900 Brasilia, DF, Brazil
[3] Univ Brasilia, Inst Phys, BR-70910900 Brasilia, DF, Brazil
[4] Univ Fed Alagoas, Inst Phys, BR-57072970 Maceio, AL, Brazil
来源：
EPL | 2008年 / 84卷 / 04期
关键词：
D O I：
10.1209/0295-5075/84/48005
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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. Copyright (c) EPLA, 2008
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页数：6
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