Complexity analysis of the stock market

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We study the complexity of the stock market by constructing epsilon-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 epsilon-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. (c) 2007 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2007-06
Language
English
Article Type
Article
Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.379, pp.179 - 187

ISSN
0378-4371
DOI
10.1016/j.physa.2006.12.042
URI
http://hdl.handle.net/10203/87034
Appears in Collection
RIMS Journal PapersPH-Journal Papers(저널논문)
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