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Dependence phenomenon analysis of the stock market

โœ Scribed by Cheng, Wuyang; Wang, Jun


Book ID
123607467
Publisher
EDP Sciences
Year
2013
Tongue
English
Weight
535 KB
Volume
102
Category
Article
ISSN
0295-5075

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Complexity analysis of the stock market
โœ Joongwoo Brian Park; Jeong Won Lee; Jae-Suk Yang; Hang-Hyun Jo; Hie-Tae Moon ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 215 KB

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 decrea