Algorithmic complexity of financial motions

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

Research in International Business and Finance, 2014, vol. 30, issue C, 336-347

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)
Date: 2014
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Citations: View citations in EconPapers (4)

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Working Paper: Algorithmic complexity of financial motions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:30:y:2014:i:c:p:336-347

DOI: 10.1016/j.ribaf.2012.08.001

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