2025/04/28 by Inga Ivanova, Ivanova, Inga, Grzegorz Rzadkowski +1
Business, Management and Accounting · #Business Strategy and Innovation #FOS: Economics and business #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.2505.09625
openalex publication_date 2025/04/28 · openalex created_date 2025/10/15 · openalex updated_date 2026/07/28
In this paper we analyze how market prices change in response to information processing among the market participants and how non-linear information dynamics drive market price movement. We analyze historical data of the SP 500 market for the period 1950 -2025 using the logistic Continuous Wavelet Transformation method. This approach allows us to identify various patterns in market dynamics. These patterns are conceptualized using a new theory of reflexive communication of information in a market consisting of heterogeneous agents who assign meaning to information from different perspectives. This allows us to describe market dynamics and make forecasts of its development using the most general mechanisms of information circulation within the content-free approach.