On impossibility of sequential algorithmic forecasting

The problem of prediction future event given an individual sequence of past events is considered. Predictions are given in form of real numbers $p_n$ which are computed by some algorithm $varphi$ using initial fragments $omega_1,dots, omega_{n-1}$ of an individual binary sequence $omega=omega_1,omega_2,dots$ and can be interpreted as probabilities of the event $omega_n=1$ given this fragment. According to Dawid\u27s {it prequential framework} %we do not consider %numbers $p_n$ as conditional probabilities generating by some %overall probability distribution on the set of all possible events. we consider partial forecasting algorithms $varphi$ which are defined on all initial fragments of $omega$ and can be undefined outside the given sequence of outcomes. We show that even for this large class of forecasting algorithms combining outcomes of coin-tossing and transducer algorithm it is possible to efficiently generate with probability close to one sequences for which any partial forecasting algorithm is failed by the method of verifying called {it calibration}

Estimating the Algorithmic Complexity of Stock Markets

Randomness and regularities in Finance are usually treated in probabilistic terms. In this paper, we develop a completely different approach in using a non-probabilistic framework based on the algorithmic information theory initially developed by Kolmogorov (1965). We present some elements of this theory and show why it is particularly relevant to Finance, and potentially to other sub-fields of Economics as well. We develop a generic method to estimate the Kolmogorov complexity of numeric series. This approach is based on an iterative "regularity erasing procedure" implemented to use lossless compression algorithms on financial data. Examples are provided with both simulated and real-world financial time series. The contributions of this article are twofold. The first one is methodological : we show that some structural regularities, invisible with classical statistical tests, can be detected by this algorithmic method. The second one consists in illustrations on the daily Dow-Jones Index suggesting that beyond several well-known regularities, hidden structure may in this index remain to be identified

06051 Abstracts Collection -- Kolmogorov Complexity and Applications

From 29.01.06 to 03.02.06, the Dagstuhl Seminar 06051 ``Kolmogorov Complexity and Applications\u27\u27 was held in the International Conference and Research Center (IBFI), Schloss Dagstuhl. During the seminar, several participants presented their current research, and ongoing work and open problems were discussed. Abstracts of the presentations given during the seminar as well as abstracts of seminar results and ideas are put together in this paper. The first section describes the seminar topics and goals in general. Links to extended abstracts or full papers are provided, if available

MODELING OF THE PROSPECTS FOR SUSTAINABLE DEVELOPMENT OF AGRICULTURAL TERRITORIES BY THE BAYESIAN NETWORKS

The article gives information on the problem of sustainable development of the agricultural territories, as to provide the effective path to follow through in the future. The aim of the research is to provide a scientific basis for the need of using the modeling with the help of neural network technologies and to build a Bayesian belief network to make a decision on the sustainable development of the village council of Gladkovich and Hoteshiv in the future. It is carried out the estimation of factors and conditions influencing the sustainable development of the studied area. The results of the implementation of the Bayesian network with the help of Netica software for deciding on the sustainable development of village councils in the future based on the questionnaire data during the period of decentralization and association of territorial communities are outlined.Straipsnyje pateikiama informacija apie kaimo vietovių tvarios plėtros problemą, siekiant užtikrinti veiksmingą ateities situacijos sprendimą. Tyrimo tikslas – pateikti mokslinį modeliavimo pagrindimą naudojant neuroninių tinklų technologijas ir sukuriant Bajeso pasitikėjimo tinklus, siekiant priimti sprendimą dėl tvaraus vystymosi Gladkovich ir Hotešivo kaimo vietovių ateities. Atliktas veiksnių ir sąlygų, turinčių įtakos darnaus vystymosi sričiai, įvertinimas. Remiantis apklausos duomenimis decentralizacijos ir teritorinių bendruomenių asociacijos laikotarpiu, apibūdinti Bajeso tinklo įgyvendinimo rezultatai naudojant „Netica“ programinę įrang

On Universal Prediction and Bayesian Confirmation

The Bayesian framework is a well-studied and successful framework for inductive reasoning, which includes hypothesis testing and confirmation, parameter estimation, sequence prediction, classification, and regression. But standard statistical guidelines for choosing the model class and prior are not always available or fail, in particular in complex situations. Solomonoff completed the Bayesian framework by providing a rigorous, unique, formal, and universal choice for the model class and the prior. We discuss in breadth how and in which sense universal (non-i.i.d.) sequence prediction solves various (philosophical) problems of traditional Bayesian sequence prediction. We show that Solomonoff's model possesses many desirable properties: Strong total and weak instantaneous bounds, and in contrast to most classical continuous prior densities has no zero p(oste)rior problem, i.e. can confirm universal hypotheses, is reparametrization and regrouping invariant, and avoids the old-evidence and updating problem. It even performs well (actually better) in non-computable environments.Comment: 24 page

Predictability: a way to characterize Complexity

Different aspects of the predictability problem in dynamical systems are reviewed. The deep relation among Lyapunov exponents, Kolmogorov-Sinai entropy, Shannon entropy and algorithmic complexity is discussed. In particular, we emphasize how a characterization of the unpredictability of a system gives a measure of its complexity. Adopting this point of view, we review some developments in the characterization of the predictability of systems showing different kind of complexity: from low-dimensional systems to high-dimensional ones with spatio-temporal chaos and to fully developed turbulence. A special attention is devoted to finite-time and finite-resolution effects on predictability, which can be accounted with suitable generalization of the standard indicators. The problems involved in systems with intrinsic randomness is discussed, with emphasis on the important problems of distinguishing chaos from noise and of modeling the system. The characterization of irregular behavior in systems with discrete phase space is also considered.Comment: 142 Latex pgs. 41 included eps figures, submitted to Physics Reports. Related information at this http://axtnt2.phys.uniroma1.i