EconPapers    
Economics at your fingertips  
 

Algorithmic Complexity of Financial Motions

Olivier Brandouy (), Jean-Paul Delahaye, Lin Ma and Hector Zenil

No 1204, ASSRU Discussion Papers from ASSRU - Algorithmic Social Science Research Unit

Abstract: 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.

Keywords: algorithmic information theory; Kolmogorov complexity; financial returns; market efficiency; compression algorithms; information theory; randomness; price movements; algorithmic probability (search for similar items in EconPapers)
JEL-codes: C43 G11 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.assru.economia.unitn.it/files/DP_4_2012_I.pdf (application/pdf)

Related works:
Journal Article: Algorithmic complexity of financial motions (2014) Downloads
Working Paper: Algorithmic complexity of financial motions (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:trn:utwpas:1204

Access Statistics for this paper

More papers in ASSRU Discussion Papers from ASSRU - Algorithmic Social Science Research Unit Contact information at EDIRC.
Series data maintained by assru.tm@gmail.com ().

 
Page updated 2017-05-12
Handle: RePEc:trn:utwpas:1204