Markets are efficient if and only if P = NP
2010/02/11 by Philip Maymin, Maymin, Philip · 16 voices · 1 citation
#q-fin.GN #cs.CC
paper · pdf · doi:10.48550/arxiv.1002.2284
Abstract
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.
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Discussions
- Markets are efficient if and only if P = NP (2010) [hn, 332 points, 191 comments]
- Markets are efficient if and only if P=NP (2010) [hn, 214 points, 169 comments]
- Markets are efficient if and only if P = NP [hn, 107 points, 123 comments]
- arxiv.org/pdf/1002.228... [bsky, 30 points, 5 comments]
- Markets are efficient if and only if P = NP [lobsters, 26 points, 1 comments]
- Markets are efficient if and only if P = NP [hn, 9 points, 1 comments]
- arxiv.org/abs/1002.2284 [bsky, 9 points, 1 comments]
- Markets are efficient if and only if P = NP [hn, 6 points, 2 comments]
- Markets Are Efficient If And Only If P = NP (2010) [hn, 4 points, 1 comments]
- Yep: arxiv.org/abs/1002.2284 [bsky, 4 points, 1 comments]
- Markets are efficient if and only if P=NP (2010) [hn, 3 points, 0 comments]
- holy SHIT this is a wild one (source is downchain of the quoted skeet but for convenience it's here too! arxiv.org/abs/1002.2284) [bsky, 2 points, 0 comments]
- 55 arxiv.org/abs/1002.2284 (ancient preprint) [bsky, 1 points, 1 comments]
- Markets are efficient if and only if P = NP [hn, 1 points, 1 comments]
- What’s fun is that you can sometimes prove the equivalence of fairy tales concocted to assuage that exact trauma, despite them having been dreamed up in disjoint fields of expertise: arxiv.org/pdf/100 [bsky, 0 points, 0 comments]
- "The fact that market efficiency and computational efficiency are linked suggests that government should no more intervene in the market or regulate market participants than it should intervene in com [bsky, 0 points, 1 comments]
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