Journal Article

Algorithmic complexity theory and the relative efficiency of financial markets

EPL (Europhysics Letters), 4

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.

Authors

Ricardo Giglio
Raul Matsushita
Anibal Figueiredo
Iram Gleria
Sergio Da Silva

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Publication Date
JEL Classification
G14