Algorithmic complexity of real financial markets

DOI10.1016/S0378-4371(01)00434-4MaRDI QIDQ5949734zbMATH OpenFDO

Authors Ricardo Mansilla

Publication date 27 November 2001

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0005441

zbMATH Keywords

Kolmogorov-Chaitin theorystatistical physicsthermodynamics

Mathematics Subject Classification ID

Classical dynamic and nonequilibrium statistical mechanics (general) (82C05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Abstract: A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indices. The study is based on NASDAQ and Mexican IPC data. Different behaviors of this magnitude are shown when applied to the intervals of series placed before crashes and in intervals when no financial turbulence is observed. The connection between our results and The Efficient Market Hypothesis is discussed.

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Cites work

• Greetings to A. N. Kolmogorov from the Moscow Mathematical Society
• scientific article; zbMATH DE number 1471375 (Why is no real title available?)
• On the Length of Programs for Computing Finite Binary Sequences

Cited in

(5)

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• An algorithmic look at financial volatility
• Estimating the algorithmic complexity of stock markets
• NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES
• Levels of complexity in financial markets

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