This paper proposes that computational complexity generates noise. The same asset is often held for completely different reasons by many funds following a wide variety of threshold-based trading rules. Under these conditions, we show it can be computationally infeasible to predict how these various trading rules will interact with one another, turning the net demand from these funds into unpredictable noise. This noise-generating mechanism can operate in a wide range of markets and also predicts how noise volatility will vary across assets. We confirm this prediction empirically using data on exchange-traded funds. (JEL G00, G02, G14). Received May 28 2019; editorial decision December 16 2020 by Editor Thierry Foucault. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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许多基金再平衡的声音

本文提出计算复杂性会产生噪声。许多基金遵循各种基于阈值的交易规则，通常出于完全不同的原因持有相同的资产。在这些条件下，我们表明，预测这些不同的交易规则将如何相互作用，将这些资金的净需求变成不可预测的噪音，在计算上是不可行的。这种产生噪音的机制可以在广泛的市场中运作，并且还可以预测噪音波动在资产之间的差异。我们使用交易所交易基金的数据凭经验证实了这一预测。（JEL G00、G02、G14）。2019 年 5 月 28 日收到；2020 年 12 月 16 日，编辑 Thierry Foucault 的编辑决定。作者提供了互联网附录，