Efficiency of financial markets and algorithmic complexity

In this work we are interested in the concept of market efficiency and its relationship with the algorithmic complexity theory. We employ a methodology based on the Lempel-Ziv index to analyze the relative efficiency of high-frequency data coming from the Brazilian stock market.

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Vydáno v:Journal of physics. Conference series Ročník 246; číslo 1; s. 012032
Hlavní autoři: Giglio, R, Silva, S da, Gleria, Iram, Ranciaro, A, Matsushita, R, Figueiredo, A
Médium: Journal Article
Jazyk:angličtina
Vydáno: Bristol IOP Publishing 01.09.2010
Témata:
Algorithms
Complexity theory
Efficiency
Physics
ISSN:1742-6596, 1742-6588, 1742-6596
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Shrnutí:In this work we are interested in the concept of market efficiency and its relationship with the algorithmic complexity theory. We employ a methodology based on the Lempel-Ziv index to analyze the relative efficiency of high-frequency data coming from the Brazilian stock market.
Bibliografie:ObjectType-Article-1
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ISSN:1742-6596
1742-6588
1742-6596
DOI:10.1088/1742-6596/246/1/012032