Are E-mini S&P 500 Futures Prices Random?
92 Pages Posted: 27 Jan 2021
Date Written: January 5, 2021
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, stochasticness introduced by Kolmogorov and Uspenskii, and developed by predecessors, them, and pupils. They define randomness in terms of the theory of algorithms.
Keywords: futures ticks, price increments, discrete probability distribution, Kolmogorov complexity, Hurwitz Zeta function, Dirichlet series, maximum profit trading strategy
JEL Classification: G13, G12, C15, C87
Suggested Citation: Suggested Citation