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

Dimitri Volchenkov, Veniamin L. Smirnov

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Pages (from-to)121-132
JournalApplied Mathematics and Nonlinear Sciences
StatePublished - Jun 19 2019

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