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This contribution proposes a novel order placement strategy which can be used for simulating continuous double auction financial markets, within an agent-based model framework. The order placement decision is given by an optimization problem which minimizes the risk adjusted execution cost,...
We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically for Kolmogorov complexity. We also consider run...
Financial time series usually exhibit non-stationarity and time-varying volatility. Extraction and analysis of complicated patterns, such as trends and transient changes, are at the core of modern financial data analytics. Furthermore, efficient and timely analysis is often hindered by large...
Randomness and regularities in finance are usually treated in probabilistic terms. In this paper, we develop a different approach in using a non-probabilistic framework based on the algorithmic information theory initially developed by Kolmogorov (1965). We develop a generic method to estimate...
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