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Algorithmic complexity theory detects decreases in the relative efficiency of stock markets in the aftermath of the 2008 financial crisis

Author

Listed:
  • Cleiton Taufemback

    (Federal University of Santa Catarina)

  • Ricardo Giglio

    (Kiel University)

  • Sergio Da Silva

    (Federal University of Santa Catarina)

Abstract

The relative efficiency of financial markets can be evaluated using algorithmic complexity theory. Using this approach we detect decreases in efficiency rates of the major stocks listed on the Sao Paulo Stock Exchange in the aftermath of the 2008 financial crisis.

Suggested Citation

  • Cleiton Taufemback & Ricardo Giglio & Sergio Da Silva, 2011. "Algorithmic complexity theory detects decreases in the relative efficiency of stock markets in the aftermath of the 2008 financial crisis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1631-1647.
    • Handle: RePEc:ebl:ecbull:eb-11-00319
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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P151.pdf
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    Citations

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    Cited by:

    1. Da Silva, Sergio, 2015. "Financial Market Efficiency Should be Gauged in Relative Rather than Absolute Terms," MPRA Paper 64497, University Library of Munich, Germany.
    2. Abounoori, Esmaiel & Shahrazi, Mahdi & Rasekhi, Saeed, 2012. "An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3170-3179.

    More about this item

    Keywords

    market efficiency; stock markets; econophysics;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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