Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis
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DOI: 10.1023/A:1026198216929
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- Yael Alon- Brimer & Armin Shmilovici & Shmuel Hauser, 2002. "Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis," Computing in Economics and Finance 2002 272, Society for Computational Economics.
References listed on IDEAS
- Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- Ching-Wei Tan, 1999. "Estimating the Complexity Function of Financial Time Series: An Estimation Based on Predictive Stochastic Complexity," Computing in Economics and Finance 1999 1143, Society for Computational Economics.
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Cited by:
- Sornette, Didier & Zhou, Wei-Xing, 2006.
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- D. Sornette & W. -X. Zhou, 2003. "Predictability of large future changes in major financial indices," Papers cond-mat/0304601, arXiv.org, revised Aug 2004.
- Brandouy, Olivier & Delahaye, Jean-Paul & Ma, Lin & Zenil, Hector, 2014.
"Algorithmic complexity of financial motions,"
Research in International Business and Finance, Elsevier, vol. 30(C), pages 336-347.
- O. Brandouy & Lin Ma & Hector Zenil & Jean-Paul Delahaye, 2012. "Algorithmic complexity of financial motions," Post-Print hal-00802537, HAL.
- Olivier Brandouy & Jean-Paul Delahaye & Lin Ma & Hector Zenil, 2012. "Algorithmic Complexity of Financial Motions," ASSRU Discussion Papers 1204, ASSRU - Algorithmic Social Science Research Unit.
- Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi, 2016. "Entropy and efficiency of the ETF market," Papers 1609.04199, arXiv.org.
- Shternshis, Andrey & Mazzarisi, Piero & Marmi, Stefano, 2022. "Measuring market efficiency: The Shannon entropy of high-frequency financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
- Olivier Brandouy & Jean-Paul Delahaye & Lin Ma, 2015. "Estimating the Algorithmic Complexity of Stock Markets," Papers 1504.04296, arXiv.org.
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More about this item
Keywords
stochastic complexity; the Efficient Market Hypothesis; context tree;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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