The geometry of crashes : A measure of the dynamics of stock market crises
Autor(a) principal: | |
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Data de Publicação: | 2007 |
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/10400.5/25966 |
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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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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1799131193011077120 |