A thermodynamic description of the time evolution of a stock market index

Vasilis Zarikas; Apostolos G. Christopoulos; Vasilis L. Rendoumis

A thermodynamic description of the time evolution of a stock market index

Vasilis Zarikas, Apostolos G. Christopoulos, Vasilis L. Rendoumis

Department of Accounting

Research output: Contribution to journal › Article

4 Citations (Scopus)

Abstract

The scope of this paper is to present a phenomenological analysis for the time evolution of a Stock Index. The model which is introduced represents a new methodology for the description of the up and down trends of a stock index and also an example is presented referring to the Athens Stock Index (ASI). The day-by-day closing prizes of the ASI exhibit exponential laws. This behavior supports an alternative formalism based on the thermodynamic concepts of Physics in order to study the macroscopic properties of stock markets. Hence, the Newton's law of cooling is introduced as a pattern for up and down trends of the ASI. The results encourage us to construct a more complete thermodynamic model in order to understand the time evolution and the behavior of the ASI.

Original language	English
Pages (from-to)	74-85
Number of pages	12
Journal	European Journal of Economics, Finance and Administrative Sciences
Issue number	16
Publication status	Published - Feb 2009

Keywords

Athens stock index
Econophysics
Stock index
Thermodynamics
Time evolution

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Zarikas, V., Christopoulos, A. G., & Rendoumis, V. L. (2009). A thermodynamic description of the time evolution of a stock market index. European Journal of Economics, Finance and Administrative Sciences, (16), 74-85.

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