Biographical note: BossaertsPeter: Peter Bossaerts is William D. Hacker Professor of Economics and Management, Professor of Finance, and Executive Officer for the Social Sciences at the California Institute of Technology. He is the coauthor of "Lectures on Corporate Finance".

We study the Efficient Markets Hypothesis (EMH) in a setting where information heterogeneity emerges because securities valuation requires solving an NP-hard problem. We demonstrate experimentally that the quality of prices deteriorates substantially as computational complexity increases....