An algorithmic look at financial volatility

DOI10.3390/a11110185zbMath1461.91369OpenAlexW2901501047MaRDI QIDQ1712041

Jean-Paul Delahaye, Lin Ma

Publication date: 21 January 2019

Published in: Algorithms (Search for Journal in Brave)

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)

Related Items

Special issue on algorithms in computational finance

Uses Software

• OACC
• acss

Cites Work

• Stationarity of GARCH processes and of some nonnegative time series
• The miraculous universal distribution
• Generalized autoregressive conditional heteroscedasticity
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• Algorithmic Randomness and Complexity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Empirical properties of asset returns: stylized facts and statistical issues
• THE COMPLEXITY OF FINITE OBJECTS AND THE DEVELOPMENT OF THE CONCEPTS OF INFORMATION AND RANDOMNESS BY MEANS OF THE THEORY OF ALGORITHMS
• An introduction to Kolmogorov complexity and its applications
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