A computational definition of financial randomness

DOI10.1080/14697688.2013.829243MaRDI QIDQ5245347zbMATH OpenOpenAlexFDO

Authors Olivier Brandouy, Lin Ma, Jean-Paul Delahaye

Publication date 8 April 2015

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.829243

Mathematics Subject Classification ID

Randomized algorithms (68W20) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Continuous-time trading and the emergence of randomness
• Do stronger definitions of randomness exist?
• Uniform van Lambalgen's theorem fails for computable randomness
• Computable randomness and betting for computable probability spaces
• Computable randomness is about more than probabilities

Cites work

• A unified approach to the definition of random sequences
• An Unsolvable Problem of Elementary Number Theory
• Common risk factors in the returns on stocks and bonds
• On Computable Numbers, with an Application to the Entscheidungsproblem
• On the Extensive Number of Plays to Achieve Superior Performance with the Geometric Mean Strategy
• The definition of random sequences
• The predictive power of price patterns
• Thou shalt buy and hold
• Universal Portfolios
• Universal portfolios with side information

Cited in

(5)

• Modified multifractal large deviation spectrum based on CID for financial market system
• Continuous-time trading and the emergence of randomness
• Dynamic mode decomposition for financial trading strategies
• scientific article; zbMATH DE number 1444753 (Why is no real title available?)
• Certifiably pseudorandom financial derivatives

This page was built for publication: A computational definition of financial randomness

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5245347)