Algorithmic Complexity of Financial Motions
Olivier Brandouy (),
Lin Ma and
No 1204, ASSRU Discussion Papers from ASSRU - Algorithmic Social Science Research Unit
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)
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)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Journal Article: Algorithmic complexity of financial motions (2014)
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)
Persistent link: https://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.
Bibliographic data for series maintained by email@example.com ().