Algorithmic Complexity of Financial Motions
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.
|Date of creation:||2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.assru.economia.unitn.it/index.html
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:ebl:ecbull:v:7:y:2008:i:6:p:1-12 is not listed on IDEAS
- Y. Kahiri & A. Shmilovici & S. Hauser, 2006.
"Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm,"
Computing in Economics and Finance 2006
256, Society for Computational Economics.
- Armin Shmilovici & Yoav Kahiri & Irad Ben-Gal & Shmuel Hauser, 2009. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computational Economics, Society for Computational Economics, vol. 33(2), pages 131-154, March.
- Jean-Michel Courtault & Youri Kabanov & Bernard Bru & Pierre Crepel & Isabelle Lebon & Arnaud Le Marchand, 2000.
"Louis Bachelier On the centenary of Théorie de la Spéculation,"
- Jean-Michel Courtault & Yuri Kabanov & Bernard Bru & Pierre Crépel & Isabelle Lebon & Arnaud Le Marchand, 2000. "Louis Bachelier on the Centenary of "Théorie de la Spéculation"," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 339-353.
- Hector Zenil & Jean‐Paul Delahaye, 2011. "An Algorithmic Information Theoretic Approach To The Behaviour Of Financial Markets," Journal of Economic Surveys, Wiley Blackwell, vol. 25(3), pages 431-463, 07.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Eugene F. Fama, .
"Market Efficiency, Long-term Returns, and Behavioral Finance,"
CRSP working papers
340, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
- Eugene F Fama, . "Market Efficiency, Long-Term Returns, and Behavioral Finance," CRSP working papers 448, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Ching-Wei Tan, 1999. "Estimating the Complexity Function of Financial Time Series: An Estimation Based on Predictive Stochastic Complexity," Computing in Economics and Finance 1999 1143, Society for Computational Economics.
- R. Mansilla, 2001. "Algorithmic Complexity in Real Financial Markets," Papers cond-mat/0104472, arXiv.org.
- Brandouy, Olivier & Delahaye, Jean-Paul & Ma, Lin & Zenil, Hector, 2014.
"Algorithmic complexity of financial motions,"
Research in International Business and Finance,
Elsevier, vol. 30(C), pages 336-347.
- Sergio Da Silva & Raul Matsushita & Ricardo Giglio, 2008. "The relative efficiency of stockmarkets," Economics Bulletin, AccessEcon, vol. 7(6), pages 1-12.
- Mansilla, R., 2001. "Algorithmic complexity of real financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 483-492.
- LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
- Yael Alon- Brimer & Armin Shmilovici & Shmuel Hauser, 2002.
"Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis,"
Computing in Economics and Finance 2002
272, Society for Computational Economics.
- Armin Shmilovici & Yael Alon-Brimer & Shmuel Hauser, 2003. "Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis," Computational Economics, Society for Computational Economics, vol. 22(2), pages 273-284, October.
- Andreia Dionisio & Rui Menezes & Diana A. Mendes, 2007. "Entropy and Uncertainty Analysis in Financial Markets," Papers 0709.0668, arXiv.org.
- David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988.
"What Moves Stock Prices?,"
487, Massachusetts Institute of Technology (MIT), Department of Economics.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
- Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
- A. Dionisio & R. Menezes & D. A. Mendes, 2006.
"An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market,"
The European Physical Journal B - Condensed Matter and Complex Systems,
Springer, vol. 50(1), pages 161-164, 03.
- Andreia Dionisio & Rui Menezes & Diana A. Mendes, 2005. "An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market," Papers physics/0509250, arXiv.org, revised Sep 2005.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Paul A. Samuelson, 1973. "Proof That Properly Discounted Present Values of Assets Vibrate Randomly," Bell Journal of Economics, The RAND Corporation, vol. 4(2), pages 369-374, Autumn.
- Timmermann, Allan & Granger, Clive W. J., 2004.
"Efficient market hypothesis and forecasting,"
International Journal of Forecasting,
Elsevier, vol. 20(1), pages 15-27.
- Giglio, Ricardo & Matsushita, Raul & Figueiredo, Annibal & Gleria, Iram & Da Silva, Sergio, 2008. "Algorithmic complexity theory and the relative efficiency of financial markets," MPRA Paper 8704, University Library of Munich, Germany.
- Jing Chen, 2005. "Information Theory and Market Behavior," Finance 0503009, EconWPA.
When requesting a correction, please mention this item's handle: RePEc:trn:utwpas:1204. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (email@example.com)
If references are entirely missing, you can add them using this form.