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.

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of physics. Conference series Jg. 246; H. 1; S. 012032
Hauptverfasser: Giglio, R, Silva, S da, Gleria, Iram, Ranciaro, A, Matsushita, R, Figueiredo, A
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Bristol IOP Publishing 01.09.2010
Schlagworte:
Algorithms
Complexity theory
Efficiency
Physics
ISSN:1742-6596, 1742-6588, 1742-6596
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
Bibliographie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1742-6596
1742-6588
1742-6596
DOI:10.1088/1742-6596/246/1/012032