| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 979094 | Physica A: Statistical Mechanics and its Applications | 2007 | 9 Pages |
Abstract
We study the complexity of the stock market by constructing εε-machines of Standard and Poor's 500 index from February 1983 to April 2006 and by measuring the statistical complexities. It is found that both the statistical complexity and the number of causal states of constructed εε-machines have decreased for last 20 years and that the average memory length needed to predict the future optimally has become shorter. These results support that the information is delivered to the economic agents and applied to the market prices more rapidly in year 2006 than in year 1983.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Joongwoo Brian Park, Jeong Won Lee, Jae-Suk Yang, Hang-Hyun Jo, Hie-Tae Moon,