Figure 1

Two competing causal models. On the left-hand side two possible causal models for stock price co-movements are shown. Model (a) was inspired by the Bell experiments in quantum mechanics, while Model (b) is an extension of Model (a) with just one additional causal arrow. Both models may be proposed to describe stock price behavior in the regime of weak versus strong price changes. The right hand side shows a heatmap of \(S_1\)-values from daily closing price changes of S&P-500 stocks for the time period 4.5.2016 to 3.5.2019 grouped into 11 sectors according to the Global Industry Classification Standard (GICS) and ordered by descending strength of classical correlation within each sector. An identical threshold of \(r_A = r_B = 1\%\) was used for each pair of stocks. The deep red indicates \(S_1\)-values above two. Those values falsify Model (a).