Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis

Yael Alon- Brimer, Armin Shmilovici and Shmuel Hauser (shauser@ono.ac.il)

No 272, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: market efficiency; stochastic complexity; context tree; data compression; compression thresholds; TA25 (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2002-07-01
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Journal Article: Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis (2003)
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