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.

Bibliographic Details

Published in:	Journal of physics. Conference series Vol. 246; no. 1; p. 012032
Main Authors:	Giglio, R, Silva, S da, Gleria, Iram, Ranciaro, A, Matsushita, R, Figueiredo, A
Format:	Journal Article
Language:	English
Published:	Bristol IOP Publishing 01.09.2010
Subjects:	Algorithms Complexity theory Efficiency Physics
ISSN:	1742-6596, 1742-6588, 1742-6596
Online Access:	Get full text
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