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

Araujo, Tanya Vianna; Lou, Francisco

[journal article]

dc.contributor.author	Araujo, Tanya Vianna	de
dc.contributor.author	Lou, Francisco	de
dc.date.accessioned	2011-02-23T03:41:00Z	de
dc.date.accessioned	2012-08-29T23:07:45Z
dc.date.available	2012-08-29T23:07:45Z
dc.date.issued	2007	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22092
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Market Microstructure; Complexity in Finance; Market Prediction; Experimental Finance; Financial Markets; Correlation Structures; Empirical Time Series Analysis; Complexity in Economics
dc.title	The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	7	de
dc.publisher.country	GBR
dc.source.issue	1	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Political Economy	en
dc.subject.classoz	Volkswirtschaftslehre	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-220923	de
dc.date.modified	2011-03-14T17:02:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	63-74
internal.identifier.classoz	10905
internal.identifier.classoz	1090300
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680601019530	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Volkswirtschaftslehre (allgemein)
Political Economy (general)
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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