Search Results - subject:"stochastic complexity"

Logarithmic sample bounds for Sample Average Approximation with capacity- or budget-constraints

Bugg, Caleb; Aswani, Anil - In: Operations research letters 49 (2021) 2, pp. 231-238

Persistent link: https://www.econbiz.de/10012506656

Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm

Kahiri, Y.; Shmilovici, A.; Hauser, S. - Society for Computational Economics - SCE - 2006

The Efficient Market Hypothesis (EMH) states that the current market price fully reflects all available information. The weak form of the EMH considers only past price data and rules out predictions based on the price data only. The prices follow a random walk, where successive changes have zero...

Persistent link: https://www.econbiz.de/10005706240

Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis

Shmilovici, Armin; Alon-Brimer, Yael; Hauser, Shmuel - In: Computational Economics 22 (2003) 2, pp. 273-284

conclusions for some time series.The stochastic complexity of a time series is a measure of the number of bits needed to represent …, because there are no patterns and the stochastic complexity is high. In this research, Rissanen's context tree algorithm is …

Persistent link: https://www.econbiz.de/10005701628

Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis

Brimer, Yael Alon-; Shmilovici, Armin; Hauser, Shmuel - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005537690

Model selection and prediction: Normal regression

Speed, T.; Yu, Bin - In: Annals of the Institute of Statistical Mathematics 45 (1993) 1, pp. 35-54

Persistent link: https://www.econbiz.de/10005395629