Before revision: In this work we develop a new measure to study the behavior of stochastic time series, which permits to distinguish events which are different from the ordinary, like financial crises. We identify from the data well known market crashes such as Black Thursday (1929), Black Monday (1987) and Subprime crisis (2008)  with clear and robust results.
After revision: In this work we develop a new measure to study the behavior of stochastic time series, which permits to distinguish events like financial crisis in real time . We calculate the partition function from where we obtain thermodynamic quantities analogous to free energy and specific heat. The index is defined as the normalized energy variation and it can be used to study the behavior of stochastic time series, such as financial market daily data. Famous financial market crashes - Black Thursday (1929), Black Monday (1987) and Subprime crisis (2008) with clear and robust results.