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Stock market stability: Diffusion entropy analysis

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  • Li, Shouwei
  • Zhuang, Yangyang
  • He, Jianmin

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.

Suggested Citation

  • Li, Shouwei & Zhuang, Yangyang & He, Jianmin, 2016. "Stock market stability: Diffusion entropy analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 462-465.
    • Handle: RePEc:eee:phsmap:v:450:y:2016:i:c:p:462-465
    DOI: 10.1016/j.physa.2016.01.037
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    References listed on IDEAS

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    Cited by:

    1. Kumar, Sushil & Kumar, Sunil & Kumar, Pawan, 2020. "Diffusion entropy analysis and random matrix analysis of the Indian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    2. Ha, Le Thanh, 2022. "Effects of digitalization on financialization: Empirical evidence from European countries," Technology in Society, Elsevier, vol. 68(C).
    3. Zhang, Junhuan, 2018. "Influence of individual rationality on continuous double auction markets with networked traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 353-392.
    4. Phuc Nguyen, Canh & Dinh Su, Thanh & Doytch, Nadia, 2020. "The drivers of financial development: Global evidence from internet and mobile usage," Information Economics and Policy, Elsevier, vol. 53(C).

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