Article
Five Years of Phase Space Dynamics of the Standard & Poor’s 500
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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.
Keywords
Discrete-time Markov processes, Measures of information, entropy, Mathematical finance, 60J20, 94A17, 62B10, 91G80
Citation
Smirnov, V. & Volchenkov, D. (2019). Five years of phase space dynamics of the standard & poor’s 500. Applied Mathematics and Nonlinear Sciences, 4(1), 209–222. https://doi.org/10.2478/AMNS.2019.1.00019
V. Smirnov and D. Volchenkov, “Five years of phase space dynamics of the standard & poor’s 500,” Applied Mathematics and Nonlinear Sciences, vol. 4, no. 1, pp. 209–222, 2019, doi: 10.2478/AMNS.2019.1.00019.
Smirnov V, Volchenkov D. Five years of phase space dynamics of the standard & poor’s 500. Applied Mathematics and Nonlinear Sciences. 2019;4(1):209–222. doi:10.2478/AMNS.2019.1.00019.
Smirnov, V. and Volchenkov, D. (2019), ‘Five years of phase space dynamics of the standard & poor’s 500’, Applied Mathematics and Nonlinear Sciences, 4(1), pp. 209–222. Available at: https://doi.org/10.2478/AMNS.2019.1.00019.
Smirnov, Veniamin, and Dimitri Volchenkov. “Five Years of Phase Space Dynamics of the Standard & Poor’s 500.” Applied Mathematics and Nonlinear Sciences, vol. 4, no. 1, 2019, pp. 209–222. https://doi.org/10.2478/AMNS.2019.1.00019.
Smirnov, Veniamin, and Dimitri Volchenkov. “Five Years of Phase Space Dynamics of the Standard & Poor’s 500.” Applied Mathematics and Nonlinear Sciences 4, no. 1 (2019): 209–222. https://doi.org/10.2478/AMNS.2019.1.00019.
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Published by: Engineering Journals


