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Algorithmic Complexity of Financial Motions
- Source :
- Research in International Business and Finance, Research in International Business and Finance, Elsevier, 2012, 30, pp.336-347. ⟨10.1016/j.ribaf.2012.08.001⟩, Research in International Business and Finance, 2012, 30, pp.336-347. ⟨10.1016/j.ribaf.2012.08.001⟩
- Publication Year :
- 2014
-
Abstract
- We survey the main applications of algorithmic (Kolmogorov) complexity to the problem of price dynamics in financial markets. We stress the differences between these works and put forward a general algorithmic framework in order to highlight its potential for financial data analysis. This framework is “general” in the sense that it is not constructed on the common assumption that price variations are predominantly stochastic in nature.
- Subjects :
- Finance
Algorithmic information theory
Kolmogorov complexity
business.industry
Financial market
jel:C43
Information theory
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
jel:G11
Order (exchange)
algorithmic information theory
financial returns
market efficiency
compression algorithms
information theory
randomness
price movements
algorithmic probability
Economics
Business, Management and Accounting (miscellaneous)
Algorithmic probability
Algorithmic game theory
business
Mathematical economics
Randomness
Subjects
Details
- ISSN :
- 02755319
- Volume :
- 30
- Database :
- OpenAIRE
- Journal :
- Research in International Business and Finance
- Accession number :
- edsair.doi.dedup.....deb67f293841c873ba9c55514210c8c5
- Full Text :
- https://doi.org/10.1016/j.ribaf.2012.08.001⟩