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Algorithmic Complexity in Real Financial Markets

R. Mansilla
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Abstract

A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indexes. 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 to intervals when no financial turbulence is observed. The connection between our results and The Efficient Market Hypothesis is discussed.

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BibTeXRIS

R. Mansilla. 2001-04-24. Algorithmic Complexity in Real Financial Markets. https://arxiv.org/abs/cond-mat/0104472

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