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

TL;DR

This paper introduces a novel econophysics-based macrostate parameter to evaluate financial market risks by applying thermodynamical and statistical physics concepts like entropy to stock exchange data.

Contribution

It proposes a new risk index called macrostate parameter, integrating thermodynamics and physics principles into financial risk assessment.

Findings

The macrostate parameter correlates with market volatility.

The approach provides a new quantitative tool for risk analysis.

Entropy-based measures offer insights into market equilibrium states.

Abstract

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.