Complexity and entropy density analysis of the Korean stock market

J. B. Park, J. W. Lee, H. H. Jo, J. S. Yang, H. T. Moon

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

3 Scopus citations

Abstract

In this paper, we studied complexity and entropy density of stock market by modeling e -machine of Korean Composition Stock Price Index (KOSPI) from year 1992 to 2003 using causal-state splitting reconstruction (CSSR) algorithm.

Original languageEnglish
Title of host publicationProceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
DOIs
StatePublished - 2006
Event9th Joint Conference on Information Sciences, JCIS 2006 - Taiwan, ROC, Taiwan, Province of China
Duration: 8 Oct 200611 Oct 2006

Publication series

NameProceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
Volume2006

Conference

Conference9th Joint Conference on Information Sciences, JCIS 2006
Country/TerritoryTaiwan, Province of China
CityTaiwan, ROC
Period8/10/0611/10/06

Keywords

  • ε-machine
  • Computational mechanics
  • Econophysics
  • Entropy density
  • Statistical complexity

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