摘要翻译：
自20世纪60年代以来，市场是否有效的问题一直备受争议。难以克服这一争议的一个原因是缺乏一个普遍的、但也是精确的、定量的效率定义，这种定义能够在不同的效率状态之间进行区分。本文的主要目的是通过开发一种满足所有规定要求的市场效率度量来填补这一空白。结果表明，基于信息熵的效率新定义与Fama和Jensen两个常用的效率定义是等价的。因此，新措施能够采取措施解决关于市场效率状况的争议。此外，研究表明，市场中的低效率既可以产生于使用信息预测高于机会水平的事件的可能性，也可以产生于错误的定价/报价，这些定价/报价没有反映可能事件的正确概率。最后，在一个简单的博弈（掷硬币）上证明了效率的计算，以表明在任何类似市场的系统中，如果所有的概率都已知，人们如何准确地量化效率。
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英文标题：
《Quantification of market efficiency based on informational-entropy》
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作者：
Roland Rothenstein
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最新提交年份：
2018
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Economics        经济学
二级分类：Theoretical Economics        理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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英文摘要：
  Since the 1960s, the question whether markets are efficient or not is controversially discussed. One reason for the difficulty to overcome the controversy is the lack of a universal, but also precise, quantitative definition of efficiency that is able to graduate between different states of efficiency. The main purpose of this article is to fill this gap by developing a measure for the efficiency of markets that fulfill all the stated requirements. It is shown that the new definition of efficiency, based on informational-entropy, is equivalent to the two most used definitions of efficiency from Fama and Jensen. The new measure therefore enables steps to settle the dispute over the state of efficiency in markets. Moreover, it is shown that inefficiency in a market can either arise from the possibility to use information to predict an event with higher than chance level, or can emerge from wrong pricing/ quotes that do not reflect the right probabilities of possible events. Finally, the calculation of efficiency is demonstrated on a simple game (of coin tossing), to show how one could exactly quantify the efficiency in any market-like system, if all probabilities are known.
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PDF链接：
https://arxiv.org/pdf/1812.02371