Algorithmic complexity of financial motions
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Research in International Business and Finance.
Volume (Year): 30 (2014)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/ribaf
Algorithmic information theory; Kolmogorov complexity; Financial returns; Market efficiency; Compression algorithms; Information theory; randomness; Price movements; Algorithmic probability;
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