Ranking the stocks listed on Bovespa according to their relative efficiency

A methodology based on the algorithmic complexity theory has been applied to assess the relative efficiency of the stocks listed on Bovespa. We provide eight alternative listings of the top ten stocks according to their efficiency rates.Algorithmic complexity theory; Econophysics; Financial efficiency

The relative efficiency of stockmarkets

Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank 36 stock exchanges and 37 individual company stocks in terms of their relative efficiency.

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

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.market efficiency, stock markets, econophysics

The core of the global corporate network

We investigate the network topology of a comprehensive data set of the world-wide population of corporate entities. In particular, we have extracted information on the boards of all companies listed in Bloomberg's archive of company profiles in October, 2015, a total of almost 100; 000 firms. We provide information on board membership overlap at various levels, and, in particular, show that there exists a core of directors who accumulate a large number of seats and are highly connected among themselves both at the level of national networks and at the worldwide aggregated level

Algorithmic complexity theory and the relative efficiency of financial markets

Financial economists usually assess market efficiency in absolute terms. This is to be viewed as a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. We employ such an approach in order to rank 36 stock exchanges, 37 individual company stocks, and 19 US dollar exchange rates in terms of their relative efficiency.financial efficiency;algorithmic complexity

Eficiência relativa de mercado sob a perspectiva da teoria da informação algorítmica

Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico. Programa de Pós-Graduação em EconomiaGrande parte da literatura acerca das Hipóteses de Eficiência de Mercado (HEM) relaciona eficiência de um mercado à flutuação aleatória do preço de seus ativos. Entretanto, podemos considerar mercados perfeitamente eficientes em termos absolutos como abstrações que não ocorrem na prática (GROSSMAN, STIGLITZ, 1980), mas que servem como útil referência para o conceito de eficiência relativa (CAMPBELL; LO; MACKINLAY, 1997). Além disso, alguns testes empíricos sobre a validade das HEM encontram uma séria dificuldade no que tange à formulação de hipóteses conjuntas (LO; MACKINLAY, 1999). A rejeição da hipótese de eficiência não determina se o mercado é realmente ineficiente ou se o modelo construído a priori para descrever o comportamento normal dos preços foi mal especificado. Este trabalho utiliza a medida de complexidade proposta por Lempel e Ziv (1976), que pode ser entendida como uma medida do grau de aleatoriedade de uma seqüência (KASPAR; CHUSTER, 1987), para verificar a eficiência de diversos analisa 36 índices de ações, ações individuais de 37 empresas selecionadas e 19 taxas de câmbio relacionadas ao dólar norte-americano. Esta medida apresenta duas características importantes: a utilização de uma série genuinamente aleatória como referência para um mercado idealmente eficiente (problema da impossibilidade de mercados perfeitamente eficientes) e a independência de um modelo especificado a priori para descrever o comportamento dos preços (problema da hipótese conjunta). A quantidade de informação redundante presente nas séries financeiras, representada pelos desvios da condição de aleatoriedade, foi calculada para estabelecer comparações de eficiência em termos relativos. Sob esta medida de eficiência, constatou-se que, por exemplo, o índice S&P500 é 99,1% eficiente e o índice Bovespa, 67,8% eficiente em relação a uma série genuinamente aleatória. The traditional market efficiency literature relates market efficiency to random price fluctuations. Yet a perfect efficient market is an idealization unattainable in practice (GROSSMAN; STIGLITZ, 1980), but that serves as a useful benchmark for measuring relative efficiency (CAMPBELL; LO; MACKINLAY, 1997). Besides, any empirical test of the efficient market hypothesis is a joint test of market efficiency and the equilibrium model assumed that defines normal asset returns. If the efficiency hypothesis is rejected, this could be because either the market is really inefficient or a poor model of price behavior has been specified. This work uses the complexity measure proposed by Lempel and Ziv (1976), which can be interpreted as a measure of the degree of randomness of a string (KASPAR; SCHUSTER, 1987), to assess the efficiency of financial markets in relative terms. This has been done by considering data from 36 stockmarket indices, 37 individual company stock prices, and 19 exchange rates. This approach presents two main advantages. Firstly, it measures the deviation from randomness as the degree of efficiency of a given market. And secondly, it does not require an equilibrium model for describing price behavior (the above joint hypotheses problem). Efficiency in relative terms has been assessed by measuring the amount of redundant information (deviation from randomness) in financial time series. Doing so, we have found, for instance, that the S&P500 index is 99.1% efficient whereas Bovespa index is only 67.8% efficient

Essays on Interlocking Directorates and Speculative Dynamics

This thesis is composed by four chapters which can be classified in two broad topics. The first and second chapters deal with the properties of the networks created by interlock- ing directorates, while the third and fourth chapters with the so-called Efficient Market Hypothesis. Connecting these two topics is the notion of a stylized fact (also called a universal property) which is not accounted for by the currently stablished theory. The first chapter shows that the existence of a very well connected dominant community is not explained by the traditional preferential attachment models. In addition, it is also shown that the patterns of accumulation of board positions by single individuals observed in empirical data cannot be explained by a simple random binomial procedure. An in depth analysis of a time framed interlocking directorates dataset from Spain is presented in order to argue that board linkages might have generated some kind of special conditions for lending that would not exist if based on economic criteria only. In addition, the effects of a new gender equality regulation are investigate to conclude that women are still under represented in the boards of directors, although an increase in their absolute number could be observed. Finally, surrogate linearity tests and microscopic (agent based) models are applied in order to explain the stylized facts not account for by the Efficient Market Hypothe- sis. More specifically, with respect to the class of microscopic models called Structural Stochastic Volatility models, it is shown that the introduction of inactive traders in- creases the model ability to explain the stylized facts. Additionally, taking advantage of this model contest, it is argued that a simulation horizon one allows a model to run in order to estimate its parameters higher than what was previously assumed in not necessary in order to compare different models

Industry 4.0 as a moderator on the relationship between lean and operational performance

Due to both convergent and divergent characteristics of Industry 4.0 and Lean Production (LP), it is unclear whether their concurrent implementation may increase performance. This paper examines the moderating effect of Industry 4.0 on the relationship between LP and operational performance improvement within a developing economy. A survey was distributed among 147 Brazilian manufacturing companies that had implemented both LP and Industry 4.0. Findings indicate that, although LP’s low setup practices enhance performance, its effect varies when Industry 4.0 practices are also adopted. Managers should thus carefully prioritize the parallel adoption of different bundles of Industry 4.0 and LP practices

Ranking the stocks listed on Bovespa according to their relative efficiency

A methodology based on the algorithmic complexity theory has been applied to assess the relative efficiency of the stocks listed on Bovespa. We provide eight alternative listings of the top ten stocks according to their efficiency rates

Ranking the stocks listed on Bovespa according to their relative efficiency

A methodology based on the algorithmic complexity theory has been applied to assess the relative efficiency of the stocks listed on Bovespa. We provide eight alternative listings of the top ten stocks according to their efficiency rates