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Are E-mini S&P 500 Futures Prices Random?

In: REVIEWS IN MODERN QUANTITATIVE FINANCE

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  • Valerii Salov

Abstract

Chains of the CME Group Time and Sales E-mini S&P 500 futures tick prices and their a-b-c-d-increments are studied. A discrete probability distribution based on the Hurwitz zeta function and Dirichlet series is suggested for the price increments. The randomness of the ticks is discussed using the notions of typicalness, chaoticness, and stochasticness introduced by Kolmogorov and Uspenskii and developed by predecessors, them, and pupils. They define randomness in terms of the theory of algorithms.

Suggested Citation

  • Valerii Salov, 2024. "Are E-mini S&P 500 Futures Prices Random?," World Scientific Book Chapters, in: Andrey Itkin (ed.), REVIEWS IN MODERN QUANTITATIVE FINANCE, chapter 6, pages 229-336, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811281747_0006
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    Keywords

    Quantitative Finance; Financial Engineering; Mathematical Finance; Computational Finance; Computational Methods; Computational Problems; Pricing of Securities; Trading; Market Microstructures; Risk Theory; Queuing Theory; Asset Management Technique; Liability Management Technique; Risk Measures; Solvency; Financial Instability; Fintech; Cryptocurrencies; Financial Machine Learning; Artificial Intelligence; Fintech; Quantum Computing; Distributed Ledgers; Econophysics;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C - Mathematical and Quantitative Methods
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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