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The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
[Zeitschriftenartikel]
Abstract This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust index of the dynamics of the market structure and provides in... mehr
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust index of the dynamics of the market structure and provides information on the intensity and the sectoral impact of the crises. With this measure, we analyze the effects of some extreme phenomena on the geometry of the market. Nine crashes between 1987 and 2001 are compared by looking at the way they modify the shape of the manifold that describes the S&P500 market space.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
Freie Schlagwörter
Market Microstructure; Complexity in Finance; Market Prediction; Experimental Finance; Financial Markets; Correlation Structures; Empirical Time Series Analysis; Complexity in Economics
Sprache Dokument
Englisch
Publikationsjahr
2007
Seitenangabe
S. 63-74
Zeitschriftentitel
Quantitative Finance, 7 (2007) 1
DOI
https://doi.org/10.1080/14697680601019530
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)