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Chapter 6: Are E-mini S&P 500 Futures Prices Random?
https://doi.org/10.1142/9789811281747_0006Cited by:0 (Source: Crossref)
Abstract:
Chains of the CME Group Time and Sales E-mini S&P 500 futures tick prices and their a-b-c-d-increments are studied. A discrete probability distribution based on the Hurwitz zeta function and Dirichlet series is suggested for the price increments. The randomness of the ticks is discussed using the notions of typicalness, chaoticness, and stochasticness introduced by Kolmogorov and Uspenskii and developed by predecessors, them, and pupils. They define randomness in terms of the theory of algorithms.
Keywords:
- Randomness
- typicalness
- chaoticness
- stochasticness
- E-mini S&P futures
- tick prices
- empirical distributions of price increments
- discrete probability distributions
- Dirichlet series
- Hurwitz and Riemann Zeta functions
- Zipf’s law
- power laws
- Zipf–Mandelbrot law
- Kolmogorov complexity
- a-b-c-process
- maximum profit strategy
- optimal trading elements
- C++
- relationship between sample moments of prices and their increments
