title: |
Complexity and entropy density analysis of the Korean stock market |
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publication: |
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part of series: |
Advances in Intelligent Systems Research | |
ISBN: |
978-90-78677-01-7 | |
ISSN: |
1951-6851 | |
DOI: |
doi:10.2991/jcis.2006.97 (how to use a DOI) | |
author(s): |
Jeong won Lee, Joongwoo Park, Hang-Hyun Jo, Jae-Suk Yang, Hie-Tae Moon |
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corresponding author: |
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publication date: |
October 2006 |
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keywords: |
Econophysics, Computational mechanics, Epsilon-machine, Statistical complexity, Entropy density |
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abstract: |
In this paper, we studied complexity and entropy density of stock market by modeling epsilon-machine of Korean Composition Stock Price Index (KOSPI) from year 1992 to 2003 using causal-state splitting reconstruction (CSSR) algorithm. |
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copyright: |
©
Atlantis Press. This article is distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
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full text: |