<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>Inhomogeneous density of states in a discrete model of Standard &amp; Poor’s 500 phase space leads to inequitable predictability of market events. Most frequent events might be efficiently predicted in the long run as expected from Mean reversion theory. Stocks have different mobility in phase space. Highly mobile stocks are associated with less unsystematic risk. Less mobile stocks might be cast into disfavor almost indefinitely. Relations between information components in Standard &amp; Poor’s 500 phase space resemble of those in unfair coin tossing.</p></abstract>

Inhomogeneous density of states in a discrete model of Standard & Poor’s 500 phase space leads to inequitable predictability of market events. Most frequent events might be efficiently predicted in the long run as expected from Mean reversion theory. Stocks have different mobility in phase space. Highly mobile stocks are associated with less unsystematic risk. Less mobile stocks might be cast into disfavor almost indefinitely. Relations between information components in Standard & Poor’s 500 phase space resemble of those in unfair coin tossing.

Five Years of Phase Space Dynamics of the Standard &amp; Poor’s 500

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

Five Years of Phase Space Dynamics of the Standard & Poor’s 500

{"article-title":"Five Years of Phase Space Dynamics of the Standard & Poor\u2019s 500"}

Inhomogeneous density of states in a discrete model of Standard & Poor’s 500 phase space leads to inequitable predictability of market events. Most frequent...

Five Years of Phase Space Dynamics of the Standard & Poor’s 500

Article Category: Papers dedicated to the memory of Valetnin Afraymovich (1945-2018)

Online veröffentlicht: 28. Juni 2019

Seitenbereich: 209 - 222

Eingereicht: 30. Okt. 2018

Akzeptiert: 02. Jan. 2019

DOI: https://doi.org/10.2478/AMNS.2019.1.00019

Schlüsselwörter
Discrete-time Markov processes, Measures of information, entropy, Mathematical finance

© 2019 Smirnov, V., Volchenkov, D., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Five Years of Phase Space Dynamics of the Standard & Poor’s 500

Article Category: Papers dedicated to the memory of Valetnin Afraymovich (1945-2018)

Online veröffentlicht: 28. Juni 2019

Seitenbereich: 209 - 222

Eingereicht: 30. Okt. 2018

Akzeptiert: 02. Jan. 2019

DOI: https://doi.org/10.2478/AMNS.2019.1.00019

SchlüsselwörterDiscrete-time Markov processes, Measures of information, entropy, Mathematical finance

© 2019 Smirnov, V., Volchenkov, D., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Schlüsselwörter
Discrete-time Markov processes, Measures of information, entropy, Mathematical finance