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The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises

[Zeitschriftenartikel]

Araujo, Tanya Vianna; Lou, Francisco

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-220923

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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 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.
Klassifikation Volkswirtschaftslehre; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
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 http://dx.doi.org/10.1080/14697680601019530
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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