A New Framework for the Analysis of Stock Market Data
Ming-Chya Wu1,2*
1Research Center for Adaptive Data Analysis, National Central University, Taoyua, Taiwan
2Institute of Physics, Academia Sinica, Taipei, Taiwan
* presenting author:Ming-Chya Wu, email:mcwu@ncu.edu.tw
A new framework for the analysis of stock market data is proposed to reasonably extract information from the data. This new framework introduces a way to combine available stock market data to form measures with maximized information content. By using the measures to describe stock market activities, critical behaviors of stock markets before anomalies are revealed explicitly.

Keywords: Stock market, Time series analysis