Mechanisms of information communication and market price movements. The case of SP 500 market
ArXiv ID: 2505.09625 “View on arXiv”
Authors: Inga Ivanova, Grzegorz Rzadkowski
Abstract
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.
Keywords: logistic Continuous Wavelet Transformation, reflexive communication, heterogeneous agents, non-linear dynamics, information theory, Equities (S&P 500)
Complexity vs Empirical Score
- Math Complexity: 8.5/10
- Empirical Rigor: 4.0/10
- Quadrant: Lab Rats
- Why: The paper uses advanced mathematical concepts like wavelets, nonlinear differential equations, and information theory metrics (e.g., configurational information), but the empirical analysis is limited to historical data exploration without code, backtests, or trading signals.
flowchart TD
A["Research Goal:<br/>How do info dynamics<br/>drive SP 500 price movements?"]
B["Methodology:<br/>Logistic Continuous Wavelet<br/>Transformation &<br/>Reflexive Communication Theory"]
C["Data Input:<br/>SP 500 Historical Data<br/>(1950 - 2025)"]
D["Computational Process:<br/>Analyze non-linear info<br/>dynamics among<br/>heterogeneous agents"]
E["Outcomes:<br/>Identified market patterns,<br/>described dynamics, &<br/>made content-free forecasts"]
A --> B
B --> C
C --> D
D --> E