An ideal gas approach to classify countries using financial indices

作者：de Mattos Neto Paulo S G; Cavalcanti George D C; Madeiro Francisco; Ferreira Tiago A E^*

来源：Physica A: Statistical Mechanics and Its Applications , 2013, 392(1): 177-183.

DOI：10.1016/j.physa.2012.07.049

• Econophysics
• Countries classification
• Financial indices
• Maxwell-Boltzmann distribution

Traditionally, countries' development is classified based on several features that can be related to economic and social factors. However, this classification task is costly due to the difficulty of obtaining those features. We propose a method to classify countries based on financial indices using an ideal gas model. The probability density pdf) of the return series of the financial indices is used to characterize the fluctuation of a market. Based on the pdf, the volatility and the B coefficient, which describe the behavior of world markets, are estimated. The evaluation procedure uses 34 indices from developed and developing countries. The results show that the proposed method is an accurate, fast and low-cost computational alternative to the classifications provided by traditional organizations.

• 出版日期2013-1-1