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https://doi.org/10.3938/NPSM.67.1511
Informationlessness in a Bar Chart and the Necessity for Real-time Analysis in the Stock Market
New Phys.: Sae Mulli 2017; 67: 1511~1519
Published online December 29, 2017;  https://doi.org/10.3938/NPSM.67.1511
© 2017 New Physics: Sae Mulli.

Bum Sik CHOI*, Sangup PARK†

Department of Nano Advanced Materials Engineering, JeonJu University, Jeonju 55069, Korea
Correspondence to: *bschoi@jj.ac.kr, †sangup@jj.ac.kr
Received September 29, 2017; Revised October 20, 2017; Accepted October 20, 2017.
cc This is an open-access article distributed under the terms of the Creative Commons Attribution Non-Commercial License (http://creativecommons.org/licenses/by-nc/3.0/) which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
A recent development on the internet allows real-time big stock data to be given. However, we present only four prices by using a bar chart. We will show that the bar chart carries no information about real-time price changes by determining the time dependence of the self-correlation and by calculating the time of maximum entropy of price changes. We find the cross correlations, auto correlations, probabilities and entropies of the trading volume and the trading intervals between events. By the randomness of the cross correlations, we see that the price, volume, and trading intervals are mutually independent. By finding the times of their maximum entropies, we see that the price, volume and time interval information disappear in about 2 min, 20 min, and 10 min, respectively.
PACS numbers: 05.40.Fb, 02.50.-r, 02.60.Nm
Keywords: Stock price, Correlation, Entropy


December 2017, 67 (12)
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