An algorithmic look at financial volatility

DOI10.3390/A11110185MaRDI QIDQ1712041zbMATH OpenOpenAlexFDO

Authors Lin Ma, Jean-Paul Delahaye

Publication date 21 January 2019

Published in Algorithms (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3390/a11110185

zbMATH Keywords

Kolmogorov complexityvolatility clusteringuniversal distribution

Mathematics Subject Classification ID

Algorithmic information theory (Kolmogorov complexity, etc.) (68Q30) Financial applications of other theories (91G80)

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• An introduction to Kolmogorov complexity and its applications
• Analysis of financial time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Empirical properties of asset returns: stylized facts and statistical issues
• Generalized autoregressive conditional heteroscedasticity
• Numerical evaluation of algorithmic complexity for short strings: a glance into the innermost structure of randomness
• Stationarity of GARCH processes and of some nonnegative time series
• THE COMPLEXITY OF FINITE OBJECTS AND THE DEVELOPMENT OF THE CONCEPTS OF INFORMATION AND RANDOMNESS BY MEANS OF THE THEORY OF ALGORITHMS
• The miraculous universal distribution

Cited in

(5)

• Estimating the algorithmic complexity of stock markets
• Understand volatility of algorithmic stablecoin: modeling, verification and empirical analysis
• An Overview of the Determinants of Financial Volatility: An Explanation of Measuring Techniques
• Special issue on algorithms in computational finance
• scientific article; zbMATH DE number 5198651 (Why is no real title available?)

Describes a project that uses

Uses Software

• acss
• OACC

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