Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Social and Behavioral Sciences
Efficiency Of Financial Markets And Algorithmic Complexity, Ricardo Giglio, Sergio Da Silva, Iram Gleria, Adhemar Ranciaro, Raul Matsushita, Annibal Figueiredo
Efficiency Of Financial Markets And Algorithmic Complexity, Ricardo Giglio, Sergio Da Silva, Iram Gleria, Adhemar Ranciaro, Raul Matsushita, Annibal Figueiredo
Sergio Da Silva
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.