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"Markets are efficient if and only if P=NP."
http://arxiv.org/abs/1002.2284
A very interesting paper.
 one year ago
 one year ago
"Markets are efficient if and only if P=NP." http://arxiv.org/abs/1002.2284 A very interesting paper.
 one year ago
 one year ago

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soty2013Best ResponseYou've already chosen the best response.0
ThankYOu @badreferences
 one year ago

badreferencesBest ResponseYou've already chosen the best response.0
There's some time series analysis in this I think... can anyone recommend any good texts on that stuff?
 one year ago

badreferencesBest ResponseYou've already chosen the best response.0
Well, P=NP is naturally an unsolved problem. This paper is making the assumption that it is the case, though.
 one year ago

LukecrayonzBest ResponseYou've already chosen the best response.0
Was about to say, P=NP is an unsolved problem..
 one year ago

badreferencesBest ResponseYou've already chosen the best response.0
Abstract: "I prove that if markets are weakform efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be verified in polynomial time can also be solved in polynomial time. I also prove the converse by showing how we can "program" the market to solve NPcomplete problems. Since P probably does not equal NP, markets are probably not efficient. Specifically, markets become increasingly inefficient as the time series lengthens or becomes more frequent. An illustration by way of partitioning the excess returns to momentum strategies based on data availability confirms this prediction."
 one year ago

JonaskBest ResponseYou've already chosen the best response.0
this is too heavy for me disrete (abstract) math
 one year ago

badreferencesBest ResponseYou've already chosen the best response.0
Looking through it I can't find anything about time series analysis, despite what the abstract might suggest. Kind of handwaved as irrelevant.
 one year ago
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