Titre :

Estimating the algorithmic complexity of stock markets

Auteur(s) :

Brandouy, Olivier [Auteur]
Lille économie management - UMR 9221 [LEM]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
Delahaye, Jean-Paul [Auteur]
Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]
Systèmes Multi-Agents et Comportements [SMAC]
Ma, Lin [Auteur]
Laboratoire d'Informatique pour la Mécanique et les Sciences de l'Ingénieur [LIMSI]

Titre de la revue :

Algorithmic Finance

Pagination :

159 - 178

Éditeur :

Philip Maymin University of Bridgeport

Date de publication :

2015-12-29

ISSN :

2158-5571

Mot(s)-clé(s) en anglais :

Kolmogorov complexity
compression
efficiency
return

Discipline(s) HAL :

Informatique [cs]/Système multi-agents [cs.MA]
Informatique [cs]/Modélisation et simulation
Informatique [cs]/Intelligence artificielle [cs.AI]

Résumé en anglais : [en]

Randomness and regularities in finance are usually treated in probabilistic terms. In this paper, we develop a different approach in using a non-probabilistic framework based on the algorithmic information theory initially ...
Lire la suite >Randomness and regularities in finance are usually treated in probabilistic terms. In this paper, we develop a different approach in using a non-probabilistic framework based on the algorithmic information theory initially developed by Kolmogorov (1965). We develop a generic method to estimate the Kolmogorov complexity of numeric series. This approach is based on an iterative "regularity erasing procedure" (REP) implemented to use lossless compression algorithms on financial data. The REP is found to be necessary to detect hidden structures, as one should "wash out" well-established financial patterns (i.e. stylized facts) to prevent algorithmic tools from concentrating on these non-profitable patterns. The main contribution of this article is methodological: we show that some structural regularities, invisible with classical statistical tests, can be detected by this algorithmic method. Our final illustration on the daily Dow-Jones Index reveals a weak compression rate, once well- known regularities are removed from the raw data. This result could be associated to a high efficiency level of the New York Stock Exchange, although more effective algorithmic tools could improve this compression rate on detecting new structures in the future.Lire moins >

Langue :

Anglais

Comité de lecture :

Oui

Audience :

Internationale

Vulgarisation :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL