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 InfoPaper provided by ASSRU - Algorithmic Social Science Research Unit in its series ASSRU Discussion Papers with number 1204.
Date of creation: 2012
Date of revision:
algorithmic information theory; Kolmogorov complexity; financial returns; market efficiency; compression algorithms; information theory; randomness; price movements; algorithmic probability;
Find related papers by JEL classification:
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-01 (All new papers)
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