| Issue |
EPL
Volume 84, Number 4, November 2008
|
|
|---|---|---|
| Article Number | 48005 | |
| Number of page(s) | 6 | |
| Section | Interdisciplinary Physics and Related Areas of Science and Technology | |
| DOI | https://doi.org/10.1209/0295-5075/84/48005 | |
| Published online | 21 November 2008 | |
Algorithmic complexity theory and the relative efficiency of financial markets
1
Department of Economics, Federal University of Santa Catarina - 88049970 Florianopolis SC, Brazil
2
Department of Statistics, University of Brasilia - 70910900 Brasilia DF, Brazil
3
Institute of Physics, University of Brasilia - 70910900 Brasilia DF, Brazil
4
Institute of Physics, Federal University of Alagoas - 57072970 Maceio AL, Brazil
Corresponding author: iram@pq.cnpq.br
Received:
8
April
2008
Accepted:
16
October
2008
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 and 20 US dollar exchange rates in terms of their relative efficiency.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.20.-a – Interdisciplinary applications of physics
© EPLA, 2008
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