Markets are efficient if and only if P = NP

[Rayservers]

Chuckle. He would better spend his time  analyzing if "money out of nothing" =
something.... and what its effects on the resultant so-called "market" is.

Cheers,

---Venkat.

http://www.global-settlement.org
http://www.rayservers.com/blog
http://www.rayservers.com/blog/redeclaration-of-the-american-republic

On 02/23/10 11:10, R.A. Hettinga wrote:
> Sigh.
> 
> Cheers,
> RAH
> ----------
> 
> <http://arxiv1.library.cornell.edu/abs/1002.2284>arXiv.org > q-fin >
> arXiv:1002.2284

> 
> 
> Quantitative Finance > General Finance
> Markets are efficient if and only if P = NP
> Philip Maymin
> (Submitted on 11 Feb 2010)
> I prove that if markets are weak-form 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 NP-complete 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.
> Subjects:
> General Finance (q-fin.GN); Computational Complexity (cs.CC)
> Cite as:
> arXiv:1002.2284v1 [q-fin.GN]
> Submission history
> From: Philip Maymin [view email]
> [v1] Thu, 11 Feb 2010 05:56:16 GMT (46kb,X)
> Which authors of this paper are endorsers?
> Link back to: arXiv, form interface, contact.