Natural time analysis in financial markets

Kiriakopoulos, K. Mintzelas, A. ()
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Kiriakopoulos, K. Mintzelas, A.: Department of Physics, National and Kapodistrian University of Athens, Postal: Panepistimiopolis, Zografos 157 84, Athens, Greece.

Algorithmic Finance, 2016, vol. 5, issue 1-2, 37-46

Abstract: In this paper we introduce natural time analysis in financial markets. Due to the remarkable results of this analysis on earthquake prediction and the similarities of earthquake data to financial time series, its application in price prediction and algorithmic trading seems to be a natural choice. This is tested through a trading strategy with very encouraging results.

Keywords: Natural time; complex systems; financial time series; trend’s prediction; market’s energy; trading strategy (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:iosalg:0048

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