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Complexity analysis of the stock market

✍ Scribed by Joongwoo Brian Park; Jeong Won Lee; Jae-Suk Yang; Hang-Hyun Jo; Hie-Tae Moon

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
215 KB
Volume
379
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

✦ Synopsis

We study the complexity of the stock market by constructing -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 -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.

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