Volume 87, Number 1, July 2009
|Number of page(s)
|Interdisciplinary Physics and Related Areas of Science and Technology
|24 July 2009
Phase-transition–like behaviour of information measures in financial markets
Centre for Research in Complex Systems, Charles Sturt University - Bathurst, Australia and Centre for the Mind, University of Sydney - Sydney, Australia
Corresponding author: email@example.com
Accepted: 29 June 2009
We apply measures based on information theory to the analysis of day close equity prices traded on US stock markets over the 13-year interval from 1995 up until after the market crash of September 2008. We show that the mutual information between prices provides insight into the changing relationships between equities over a time period which includes three known market crashes and two events which have not previously been included in this type of study, one of which is related to the sub-prime meltdown starting in 2007. Specifically, the mutual information around market crashes shows behaviour typical of the phase transitions studied in condensed-matter physics, however similar but more extended peaks in mutual information are also observed at other times not associated with any known market crashes.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.70.Cf – Entropy and other measures of information / 89.75.Fb – Structures and organization in complex systems
© EPLA, 2009
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.