Publication
Non-computability, unpredictability, and financial markets
| dc.contributor.author | Graça, Daniel | |
| dc.date.accessioned | 2012-04-19T14:03:09Z | |
| dc.date.available | 2012-04-19T14:03:09Z | |
| dc.date.issued | 2012 | |
| dc.description.abstract | One of the most significant achievements from theoretical computer science was to show that there are non-computable problems, which can- not be solved through algorithms. Although the formulation of such prob- lems is mathematical, they often can be interpreted as problems derived from other elds, like physics or computer science. However no non- computable problem with economical or financial inspiration has been presented before.1 Here we study the problem of valuation: given some adequate data, find the value of an asset. Valuation is modeled mathemat- ically by the discounted cash ow operator. We show, using surprisingly simple arguments, that this operator is not computable. Since, theoreti- cally, financial markets should trade assets based on their fair value, our result suggests that unpredictability of such markets may partially stem from inherent non-computable behavior. A discussion of this result is also included. | por |
| dc.identifier.other | AUT: DGR01772; | |
| dc.identifier.uri | http://hdl.handle.net/10400.1/1060 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.relation.publisherversion | http://onlinelibrary.wiley.com/doi/10.1002/cplx.21395/abstract | por |
| dc.title | Non-computability, unpredictability, and financial markets | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.title | Complexity | por |
| person.familyName | Graça | |
| person.givenName | Daniel | |
| person.identifier.ciencia-id | 2D11-56DE-3F11 | |
| person.identifier.orcid | 0000-0002-0330-833X | |
| person.identifier.rid | D-2335-2011 | |
| person.identifier.scopus-author-id | 8882791800 | |
| rcaap.rights | openAccess | por |
| rcaap.type | article | por |
| relation.isAuthorOfPublication | ba0c1461-5d2d-4f06-b648-df4a1a505bdf | |
| relation.isAuthorOfPublication.latestForDiscovery | ba0c1461-5d2d-4f06-b648-df4a1a505bdf |