The geometry of crashes : A measure of the dynamics of stock market crises

Detalhes bibliográficos
Autor(a) principal: Araújo, Tanya
Data de Publicação: 2007
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/10400.5/25966
Resumo: Lodres : Taylor & Francis Group, 2007 ResumoThis paper investigates the dynamics of stocks in the S&P 500 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 that is a robust index of the dynamics of the market structure and provides information on the intensity and the sectoral impact of crises. With this measure, we analyse the effects of 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&P 500 market space..
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spelling The geometry of crashes : A measure of the dynamics of stock market crisesAgent-Based ModellingApplied FinanceArtificial EconomyComplexity in EconomicsComplexity in FinanceComputational FinanceEconomic ModellingCurrency CrisesLodres : Taylor & Francis Group, 2007 ResumoThis paper investigates the dynamics of stocks in the S&P 500 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 that is a robust index of the dynamics of the market structure and provides information on the intensity and the sectoral impact of crises. With this measure, we analyse the effects of 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&P 500 market space..Taylor & Francis GroupRepositório da Universidade de LisboaAraújo, TanyaLouçã, Francisco2022-11-08T15:26:03Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25966engAraújo, Tanya and Francisco Louçã. (2007). “The geometry of crashes : A measure of the dynamics of stock market crises“. Quantitative Finance, Vol. 7, No. 1, 2007: pp. 63–74info: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:RCAAP2023-03-06T14:55:29Zoai:www.repository.utl.pt:10400.5/25966Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:41.089787Repositório 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
Agent-Based Modelling
Applied Finance
Artificial Economy
Complexity in Economics
Complexity in Finance
Computational Finance
Economic Modelling
Currency Crises
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 Agent-Based Modelling
Applied Finance
Artificial Economy
Complexity in Economics
Complexity in Finance
Computational Finance
Economic Modelling
Currency Crises
topic Agent-Based Modelling
Applied Finance
Artificial Economy
Complexity in Economics
Complexity in Finance
Computational Finance
Economic Modelling
Currency Crises
description Lodres : Taylor & Francis Group, 2007 ResumoThis paper investigates the dynamics of stocks in the S&P 500 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 that is a robust index of the dynamics of the market structure and provides information on the intensity and the sectoral impact of crises. With this measure, we analyse the effects of 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&P 500 market space..
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2022-11-08T15:26:03Z
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/10400.5/25966
url http://hdl.handle.net/10400.5/25966
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Araújo, Tanya and Francisco Louçã. (2007). “The geometry of crashes : A measure of the dynamics of stock market crises“. Quantitative Finance, Vol. 7, No. 1, 2007: pp. 63–74
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 Taylor & Francis Group
publisher.none.fl_str_mv Taylor & Francis Group
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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