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A Computational View of Market Efficiency

1. 연구 배경 및 동기 전통 EMH 는 “가격이 모든 정보를 완전하게 반영한다”는 가정 하에 가격 변동이 예측 불가능 하고 마르티갈 형태라고 주장한다. 실제 금융 현장에서는 정보·연산 자원의 비대칭 이 존재하며, 일부 트레이더는 복잡한 알고리즘을, 다른 이들은 단순 규칙만을 사용한다. 저자는 이러한 비대칭을 컴퓨터 과학의 복잡도 이론 에 빌려와, “효율성 제한된 자원 내에서 이익을 만들 수 없는 상태”로 재정의한다. 2. 모델링 접근 | 요소 | 설명 | 장점 | | | | | | 시장 패턴 | 고정된 길이 p 의 수익률 시퀀스를

A Computational View of Market Efficiency

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