The geometry of crashes - a measure of the dynamics of stock market crises
Autor(a) principal: | |
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Data de Publicação: | 2005 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/2683 |
Resumo: | 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. These crises are identified as (a) structural, (b) general and (c) local. |
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The geometry of crashes - a measure of the dynamics of stock market crisesFinancial MarketsStochastic GeometryComplexityMarket SpacesMarket StructuresThis 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. These crises are identified as (a) structural, (b) general and (c) local.ISEG – Departamento de EconomiaRepositório da Universidade de LisboaAraújo, TanyaLouçã, Francisco2010-12-14T16:26:38Z20052005-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/2683engAraújo, Tanya and Francisco Louçã. 2005. "The geometry of crashes - a measure of the dynamics of stock market crises". Instituto Superior de Economia e Gestão - DE Working papers nº 15-2005/DE/UECE0874-4548info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-26T01:31:37Zoai:www.repository.utl.pt:10400.5/2683Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:50:38.778854Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The geometry of crashes - a measure of the dynamics of stock market crises |
title |
The geometry of crashes - a measure of the dynamics of stock market crises |
spellingShingle |
The geometry of crashes - a measure of the dynamics of stock market crises Araújo, Tanya Financial Markets Stochastic Geometry Complexity Market Spaces Market Structures |
title_short |
The geometry of crashes - a measure of the dynamics of stock market crises |
title_full |
The geometry of crashes - a measure of the dynamics of stock market crises |
title_fullStr |
The geometry of crashes - a measure of the dynamics of stock market crises |
title_full_unstemmed |
The geometry of crashes - a measure of the dynamics of stock market crises |
title_sort |
The geometry of crashes - a measure of the dynamics of stock market crises |
author |
Araújo, Tanya |
author_facet |
Araújo, Tanya Louçã, Francisco |
author_role |
author |
author2 |
Louçã, Francisco |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Araújo, Tanya Louçã, Francisco |
dc.subject.por.fl_str_mv |
Financial Markets Stochastic Geometry Complexity Market Spaces Market Structures |
topic |
Financial Markets Stochastic Geometry Complexity Market Spaces Market Structures |
description |
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. These crises are identified as (a) structural, (b) general and (c) local. |
publishDate |
2005 |
dc.date.none.fl_str_mv |
2005 2005-01-01T00:00:00Z 2010-12-14T16:26:38Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/2683 |
url |
http://hdl.handle.net/10400.5/2683 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Araújo, Tanya and Francisco Louçã. 2005. "The geometry of crashes - a measure of the dynamics of stock market crises". Instituto Superior de Economia e Gestão - DE Working papers nº 15-2005/DE/UECE 0874-4548 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG – Departamento de Economia |
publisher.none.fl_str_mv |
ISEG – Departamento de Economia |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799130982136152064 |