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

[journal article]

Araujo, Tanya Vianna; Lou, Francisco

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Please use the following Persistent Identifier (PID) to cite this document: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.
Classification Political Economy; Economic Statistics, Econometrics, Business Informatics
Free Keywords Market Microstructure; Complexity in Finance; Market Prediction; Experimental Finance; Financial Markets; Correlation Structures; Empirical Time Series Analysis; Complexity in Economics
Document language English
Publication Year 2007
Page/Pages p. 63-74
Journal Quantitative Finance, 7 (2007) 1
DOI http://dx.doi.org/10.1080/14697680601019530
Status Postprint; reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)
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