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- W2034176375 abstract "Abstract The risk that is created by nonlinear interactions among subjects in economic systems is assumed to increase during an abnormal state of a financial market. Nevertheless, investigating the systemic risk in financial markets following the global financial crisis is not sufficient. In this paper, we analyze the entropy density function in the return time series for several financial markets, such as the S&P500, KOSPI, and DAX indices, from October 2002 to December 2011 and analyze the variability in the entropy value over time. We find that the entropy density function of the S&P500 index during the subprime crisis exhibits a significant decrease compared to that in other periods, whereas the other markets, such as those in Germany and Korea, exhibit no significant decrease during the market crisis. These findings demonstrate that the S&P500 index generated a regular pattern in the return time series during the financial crisis." @default.
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- W2034176375 date "2015-02-01" @default.
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- W2034176375 title "Analyzing the financial crisis using the entropy density function" @default.
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- W2034176375 doi "https://doi.org/10.1016/j.physa.2014.10.065" @default.
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