### Abstract

The computational complexity of the art of designing proxies for market indices is analyzed mathematically. All combinations of three fundamental problems with four commonly-used indices are shown to give NP-complete problems. These market indices are the price-weighted index, the value-weighted index, the equal-weighted index, and the price-relative index.

Original language | English (US) |
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Title of host publication | Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms |

Editors | Anon |

Publisher | SIAM |

State | Published - Jan 1 1999 |

Event | Proceedings of the 1999 10th Annual ACM-SIAM Symposium on Discrete Algorithms - Baltimore, MD, USA Duration: Jan 17 1999 → Jan 19 1999 |

### Other

Other | Proceedings of the 1999 10th Annual ACM-SIAM Symposium on Discrete Algorithms |
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City | Baltimore, MD, USA |

Period | 1/17/99 → 1/19/99 |

### Fingerprint

### ASJC Scopus subject areas

- Chemical Health and Safety
- Software
- Safety, Risk, Reliability and Quality
- Discrete Mathematics and Combinatorics

### Cite this

*Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms*SIAM.

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*Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms.*SIAM, Proceedings of the 1999 10th Annual ACM-SIAM Symposium on Discrete Algorithms, Baltimore, MD, USA, 1/17/99.

**Designing proxies for stock market indices is computationally hard.** / Kao, Ming Yang; Tate, Stephen R.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

TY - GEN

T1 - Designing proxies for stock market indices is computationally hard

AU - Kao, Ming Yang

AU - Tate, Stephen R.

PY - 1999/1/1

Y1 - 1999/1/1

N2 - The computational complexity of the art of designing proxies for market indices is analyzed mathematically. All combinations of three fundamental problems with four commonly-used indices are shown to give NP-complete problems. These market indices are the price-weighted index, the value-weighted index, the equal-weighted index, and the price-relative index.

AB - The computational complexity of the art of designing proxies for market indices is analyzed mathematically. All combinations of three fundamental problems with four commonly-used indices are shown to give NP-complete problems. These market indices are the price-weighted index, the value-weighted index, the equal-weighted index, and the price-relative index.

UR - http://www.scopus.com/inward/record.url?scp=0032762445&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0032762445&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:0032762445

BT - Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms

A2 - Anon, null

PB - SIAM

ER -