Stock market stability: Diffusion entropy analysis

Shouwei Li, Yangyang Zhuang and Jianmin He

Physica A: Statistical Mechanics and its Applications, 2016, vol. 450, issue C, 462-465

Abstract: In this article, we propose a method to analyze the stock market stability based on diffusion entropy, and conduct an empirical analysis of Dow Jones Industrial Average. Empirical results show that this method can reflect the volatility and extreme cases of the stock market.

Keywords: Stock market stability; Financial crisis; Diffusion entropy; Conditional entropy (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:450:y:2016:i:c:p:462-465

DOI: 10.1016/j.physa.2016.01.037

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