Designing proxies for stock market indices is computationally hard

Ming Yang Kao*, Stephen R. Tate

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageEnglish (US)
Title of host publicationProceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms
Editors Anon
PublisherSIAM
StatePublished - Jan 1 1999
EventProceedings of the 1999 10th Annual ACM-SIAM Symposium on Discrete Algorithms - Baltimore, MD, USA
Duration: Jan 17 1999Jan 19 1999

Other

OtherProceedings of the 1999 10th Annual ACM-SIAM Symposium on Discrete Algorithms
CityBaltimore, MD, USA
Period1/17/991/19/99

Fingerprint

Stock Market
Computational complexity
Financial markets
Computational Complexity
NP-complete problem

ASJC Scopus subject areas

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

Cite this

Kao, M. Y., & Tate, S. R. (1999). Designing proxies for stock market indices is computationally hard. In Anon (Ed.), Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms SIAM.
Kao, Ming Yang ; Tate, Stephen R. / Designing proxies for stock market indices is computationally hard. Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms. editor / Anon. SIAM, 1999.
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Kao, MY & Tate, SR 1999, Designing proxies for stock market indices is computationally hard. in Anon (ed.), 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.

Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms. ed. / Anon. SIAM, 1999.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Kao MY, Tate SR. Designing proxies for stock market indices is computationally hard. In Anon, editor, Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms. SIAM. 1999