I studied the dynamics of the log-return distribution of the stock price index of Korea, U. S. and Japan. Based on the microscopic spin model, I found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This change in distribution shape was caused by the duration and velocity, among other parameters, of the information that flowed into the market.
I also studied the temporal evolution of complexity and entropy density of stock market by modeling ²-machine of the Korean composition stock price index (KOSPI) using causal- state splitting reconstruction (CSSR) algorithm. The dynamics of complexity, entropy den- sity and shape of probability distribution function was simulated by the microscopic spin model.