Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1002936 | Research in International Business and Finance | 2014 | 12 Pages |
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
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Olivier Brandouy, Jean-Paul Delahaye, Lin Ma, Hector Zenil,