Advanced algorithms for market inefficiency identification: the US capital market example

The article proposes an algorithm based on modern data analysis methods developed by theauthor for identifying capital market states that differ from the efficient one. The author analyzes the degree ofefficiency of the US equity capital market as the largest world market, the dynamics of which have a significantimpact on world markets, including the Russian equity capital market. Based on the results of applying thealgorithm, the hypothesis of the existence of periods in the US equity capital market that can be defined asstates, characterized by the presence of systematically observed significant deviations of the market value ofassets from their fundamental one, is not rejected.