How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market

Detalhes bibliográficos
Autor(a) principal: Araújo, Tanya
Data de Publicação: 2012
Outros Autores: Dias, João, Eleutério, Samuel, Louçã, Francisco
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/25942
Resumo: This paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only the index representing the market
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spelling How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional marketStatistical FinanceData AnalysisFinancial MarketsKurtosisThis paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only the index representing the marketCornell UniversityRepositório da Universidade de LisboaAraújo, TanyaDias, JoãoEleutério, SamuelLouçã, Francisco2022-11-07T14:09:41Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25942engAraújo, Tanya …[ et al.].(2012) "How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market". arxiv logo>q-fin>arXiv:1207.1202v1; (research PDF at 2022)info: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:RCAAP2023-03-06T14:55:28Zoai:www.repository.utl.pt:10400.5/25942Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:40.045612Repositório 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 How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market
title How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market
spellingShingle How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market
Araújo, Tanya
Statistical Finance
Data Analysis
Financial Markets
Kurtosis
title_short How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market
title_full How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market
title_fullStr How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market
title_full_unstemmed How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market
title_sort How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market
author Araújo, Tanya
author_facet Araújo, Tanya
Dias, João
Eleutério, Samuel
Louçã, Francisco
author_role author
author2 Dias, João
Eleutério, Samuel
Louçã, Francisco
author2_role author
author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Araújo, Tanya
Dias, João
Eleutério, Samuel
Louçã, Francisco
dc.subject.por.fl_str_mv Statistical Finance
Data Analysis
Financial Markets
Kurtosis
topic Statistical Finance
Data Analysis
Financial Markets
Kurtosis
description This paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only the index representing the market
publishDate 2012
dc.date.none.fl_str_mv 2012
2012-01-01T00:00:00Z
2022-11-07T14:09:41Z
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/10400.5/25942
url http://hdl.handle.net/10400.5/25942
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Araújo, Tanya …[ et al.].(2012) "How Fama went wrong : measures of multivariate Kurtosis for the identification of the dynamics of N-dimensional market". arxiv logo>q-fin>arXiv:1207.1202v1; (research PDF at 2022)
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 Cornell University
publisher.none.fl_str_mv Cornell University
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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