Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | Brimer, Yael Alon- ; Shmilovici, Armin ; Hauser, Shmuel |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | market efficiency | stochastic complexity | context tree | data compression | compression thresholds | TA25 |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 272 |
| Classification: | G14 - Information and Market Efficiency; Event Studies |
| Source: |
Persistent link: https://www.econbiz.de/10005537690