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

Valerii Salov

Chapter 6 in Reviews in Modern Quantitative Finance, 2024, pp 229-336 from World Scientific Publishing Co. Pte. Ltd.

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.

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 (search for similar items in EconPapers)
JEL-codes: C C02 C6 C61 (search for similar items in EconPapers)
Date: 2024
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