Before revision:  The relative-entropy measures computed for these modes enable us to construct a "phase space", where the different market events undergo "phase-separation" and display " order-disorder " transitions, as observed in critical phenomena in physics. We choose the US S P-500 and Japanese Nikkei-225 financial markets, over a 32-year period, and study the evolution of the cross-correlation matrices and their corresponding eigen-entropies.
After revision:  The relative-entropy measures computed for these modes enable us to construct a "phase space", where the different market events undergo "phase-separation" and display " order-disorder P-500 and Japanese Nikkei-225 financial markets, over a 32-year period, and study the evolution of the cross-correlation matrices and their corresponding eigen-entropies.