Applied Mathematics and Nonlinear Sciences
Journal license

Journal

Applied Mathematics and Nonlinear Sciences


Volume
& Issue

Volume 4, Issue 1


Published
on

June 28, 2019


Pages

209-222


DOI

Article

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

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Authors

Veniamin Smirnov Affiliation:
Department of Mathematics and Statistics, 1108 Memorial Circle, Lubbock, TX 79409 USA
and Dimitri Volchenkov Affiliation:
Department of Mathematics and Statistics, 1108 Memorial Circle, Lubbock, TX 79409 USA


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

Published by: Engineering Journals

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