Algorithmic complexity theory and the relative efficiency of financial markets

Ricardo Giglio, Raul Matsushita, Annibal Figueiredo, Iram Gleria and Sergio Da Silva ()

MPRA Paper from University Library of Munich, Germany

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, 37 individual company stocks, and 19 US dollar exchange rates in terms of their relative efficiency.

Keywords: financial efficiency; algorithmic complexity (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2008-05-10

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