Complexity analysis of the stock market
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Park, Joongwoo Brian | ko |
| dc.contributor.author | Lee, Jeong Won | ko |
| dc.contributor.author | Yang, Jae Suk | ko |
| dc.contributor.author | Jo, Hang Hyun | ko |
| dc.contributor.author | Moon, Hie Tae | ko |
| dc.date.accessioned | 2013-03-06T12:57:02Z | - |
| dc.date.available | 2013-03-06T12:57:02Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 2007-06 | - |
| dc.identifier.citation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.379, pp.179 - 187 | - |
| dc.identifier.issn | 0378-4371 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/87034 | - |
| dc.description.abstract | 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. | - |
| dc.language | English | - |
| dc.publisher | ELSEVIER SCIENCE BV | - |
| dc.title | Complexity analysis of the stock market | - |
| dc.type | Article | - |
| dc.identifier.wosid | 000245960700016 | - |
| dc.identifier.scopusid | 2-s2.0-33947413059 | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 379 | - |
| dc.citation.beginningpage | 179 | - |
| dc.citation.endingpage | 187 | - |
| dc.citation.publicationname | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
| dc.identifier.doi | 10.1016/j.physa.2006.12.042 | - |
| dc.contributor.localauthor | Yang, Jae Suk | - |
| dc.contributor.localauthor | Moon, Hie Tae | - |
| dc.contributor.nonIdAuthor | Park, Joongwoo Brian | - |
| dc.contributor.nonIdAuthor | Lee, Jeong Won | - |
| dc.contributor.nonIdAuthor | Jo, Hang Hyun | - |
| dc.type.journalArticle | Article | - |
| dc.subject.keywordAuthor | econophysics | - |
| dc.subject.keywordAuthor | computational mechanics | - |
| dc.subject.keywordAuthor | statistical complexity | - |
| dc.subject.keywordPlus | COMPUTATIONAL MECHANICS | - |
| dc.subject.keywordPlus | STATISTICAL COMPLEXITY | - |
| dc.subject.keywordPlus | MATHEMATICAL-THEORY | - |
| dc.subject.keywordPlus | COMMUNICATION | - |
| dc.subject.keywordPlus | ORGANIZATION | - |
- Appears in Collection
- RIMS Journal PapersPH-Journal Papers(저널논문)
- Files in This Item
- There are no files associated with this item.
This item is cited by other documents in WoS
| ⊙ Detail Information in WoSⓡ | Click to see |  |
| ⊙ Cited 32 items in WoS | Click to see citing articles in |  |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.