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EPL (Europhysics Letters)
Article
Data sources: UnpayWall
Research Papers in Economics
Preprint . 2008
Full-Text: https://mpra.ub.uni-muenchen.de/8704/1/MPRA_paper_8704.pdf
Data sources: Research Papers in Economics
EPL (Europhysics Letters)
Article . 2008 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.1209/029...
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Algorithmic complexity theory and the relative efficiency of financial markets

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Nov 2008Publisher:IOP PublishingJournal:EPL (Europhysics Letters), volume 84, page 48,005 (issn: 0295-5075, eissn: 1286-4854, Copyright policy )
Authors: Giglio, Ricardo; Matsushita, Raul; Figueiredo, Annibal; Gleria, Iram; Da Silva, Sergio;

doi: 10.1209/0295-5075/84/48005

Algorithmic complexity theory and the relative efficiency of financial markets

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.

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Keywords

financial efficiency;algorithmic complexity, jel: jel:G14

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    popularity
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    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
26
Top 10%
Top 10%
Average
bronze