Search Results

You are looking at 1 - 1 of 1 items for

  • Author: Dimitri Volchenkov x
Clear All Modify Search
Open access

Veniamin Smirnov and Dimitri Volchenkov

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.