The seismography of crashes in financial markets

Detalhes bibliográficos
Autor(a) principal: Araújo, Tanya
Data de Publicação: 2008
Outros Autores: 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/10400.5/25914
Resumo: This Letter investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the population of all companies present in the index for the whole period. Using a stochastic geometry technique and defining a robust index of the dynamics of the market structure, which is able to provide information about the intensity of the crises, the Letter proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to investigate and to classify the impact of the thirteen crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de siècle.
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spelling The seismography of crashes in financial marketsFinancial MarketStochastic GeometryComplexityMarket SpaceMarket StructuresThis Letter investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the population of all companies present in the index for the whole period. Using a stochastic geometry technique and defining a robust index of the dynamics of the market structure, which is able to provide information about the intensity of the crises, the Letter proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to investigate and to classify the impact of the thirteen crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de siècle.ElsevierRepositório da Universidade de LisboaAraújo, TanyaLouçã, Francisco2022-11-04T15:01:14Z20082008-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25914engAraújo, Tanya, and Francisco Louçã. (2008). "The seismography of crashes in financial markets". Physics Letters A, Vol. 372. No. 4 :pp. 429-4340375-960110.1016/j.physleta.2007.07.079info: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:RCAAP2023-03-06T14:55:26Zoai:www.repository.utl.pt:10400.5/25914Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:38.845535Repositório 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 seismography of crashes in financial markets
title The seismography of crashes in financial markets
spellingShingle The seismography of crashes in financial markets
Araújo, Tanya
Financial Market
Stochastic Geometry
Complexity
Market Space
Market Structures
title_short The seismography of crashes in financial markets
title_full The seismography of crashes in financial markets
title_fullStr The seismography of crashes in financial markets
title_full_unstemmed The seismography of crashes in financial markets
title_sort The seismography of crashes in financial markets
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 Market
Stochastic Geometry
Complexity
Market Space
Market Structures
topic Financial Market
Stochastic Geometry
Complexity
Market Space
Market Structures
description This Letter investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the population of all companies present in the index for the whole period. Using a stochastic geometry technique and defining a robust index of the dynamics of the market structure, which is able to provide information about the intensity of the crises, the Letter proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to investigate and to classify the impact of the thirteen crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de siècle.
publishDate 2008
dc.date.none.fl_str_mv 2008
2008-01-01T00:00:00Z
2022-11-04T15:01:14Z
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/10400.5/25914
url http://hdl.handle.net/10400.5/25914
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Araújo, Tanya, and Francisco Louçã. (2008). "The seismography of crashes in financial markets". Physics Letters A, Vol. 372. No. 4 :pp. 429-434
0375-9601
10.1016/j.physleta.2007.07.079
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 Elsevier
publisher.none.fl_str_mv Elsevier
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
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