Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions

Details Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions

2009-07-31

arxiv.org/abs/0907.5600v1

Economy

Quantitative Finance

Risk Management

15 pages, 6 figures, 25 references

Scientific paper

In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in the physical systems are used. Some considerations on economic value and financial information are made. Finally, on this basis, a new index for the financial risk estimation of the stock-exchange market transactions, named macrostate parameter, was introduced and discussed. Keywords: econophysics, stock-exchange markets, financial risk, informational fascicle, entropy, macrostate parameter.

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