The dynamics of speculative markets: the case of Portugal's PSI20
Autor(a) principal: | |
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Data de Publicação: | 2008 |
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/10400.5/2358 |
Resumo: | This paper develops and applies a stochastic geometry approach designed to describe the dynamics of the object emerging from the collective behavior of a complex system. In the current case, the market is analyzed according to the evolution of the population of 19 stocks of the PSI20 index for the period from October 2006 to April 2008. For this purpose, we apply a methodology previously developed in other work , in order to compare the dynamics and namely the changes in the evolution of the Portuguese financial market, as described by the index representing its most important firms. In the second section, we briefly recapitulate the methods and previous results, whereas in the third section the method is applied to the PSI20 data and the results are compared to our previous conclusions as obtained from the US market. We define a metric and use a properly defined distance, computed from the correlation coefficients between daily returns of the stocks. We proceed to the identification of the geometric object formed by the set of distances among such firms. The results prove that the resulting ellipsoid is a cloud of points, which is uniformly distributed along its first leading directions, whenever business-as-usual predominates, but that it is suffers severe distortions along several dimensions whenever a crisis occurs. |
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The dynamics of speculative markets: the case of Portugal's PSI20PSI-20Speculative Financial MarketsStochastic ModelsThis paper develops and applies a stochastic geometry approach designed to describe the dynamics of the object emerging from the collective behavior of a complex system. In the current case, the market is analyzed according to the evolution of the population of 19 stocks of the PSI20 index for the period from October 2006 to April 2008. For this purpose, we apply a methodology previously developed in other work , in order to compare the dynamics and namely the changes in the evolution of the Portuguese financial market, as described by the index representing its most important firms. In the second section, we briefly recapitulate the methods and previous results, whereas in the third section the method is applied to the PSI20 data and the results are compared to our previous conclusions as obtained from the US market. We define a metric and use a properly defined distance, computed from the correlation coefficients between daily returns of the stocks. We proceed to the identification of the geometric object formed by the set of distances among such firms. The results prove that the resulting ellipsoid is a cloud of points, which is uniformly distributed along its first leading directions, whenever business-as-usual predominates, but that it is suffers severe distortions along several dimensions whenever a crisis occurs.ISEG – Departamento de EconomiaRepositório da Universidade de LisboaAraújo, TanyaLouçã, Francisco2010-10-14T09:42:11Z20082008-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/2358engAraújo, Tanya and Francisco Louçã. 2008. "The dynamics of speculative markets: the case of Portugal's PSI20". Instituto Superior de Economia e Gestão - DE Working papers nº 34-2008/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:RCAAP2023-12-03T01:30:49Zoai:www.repository.utl.pt:10400.5/2358Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:50:22.598254Repositório 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 dynamics of speculative markets: the case of Portugal's PSI20 |
title |
The dynamics of speculative markets: the case of Portugal's PSI20 |
spellingShingle |
The dynamics of speculative markets: the case of Portugal's PSI20 Araújo, Tanya PSI-20 Speculative Financial Markets Stochastic Models |
title_short |
The dynamics of speculative markets: the case of Portugal's PSI20 |
title_full |
The dynamics of speculative markets: the case of Portugal's PSI20 |
title_fullStr |
The dynamics of speculative markets: the case of Portugal's PSI20 |
title_full_unstemmed |
The dynamics of speculative markets: the case of Portugal's PSI20 |
title_sort |
The dynamics of speculative markets: the case of Portugal's PSI20 |
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 |
PSI-20 Speculative Financial Markets Stochastic Models |
topic |
PSI-20 Speculative Financial Markets Stochastic Models |
description |
This paper develops and applies a stochastic geometry approach designed to describe the dynamics of the object emerging from the collective behavior of a complex system. In the current case, the market is analyzed according to the evolution of the population of 19 stocks of the PSI20 index for the period from October 2006 to April 2008. For this purpose, we apply a methodology previously developed in other work , in order to compare the dynamics and namely the changes in the evolution of the Portuguese financial market, as described by the index representing its most important firms. In the second section, we briefly recapitulate the methods and previous results, whereas in the third section the method is applied to the PSI20 data and the results are compared to our previous conclusions as obtained from the US market. We define a metric and use a properly defined distance, computed from the correlation coefficients between daily returns of the stocks. We proceed to the identification of the geometric object formed by the set of distances among such firms. The results prove that the resulting ellipsoid is a cloud of points, which is uniformly distributed along its first leading directions, whenever business-as-usual predominates, but that it is suffers severe distortions along several dimensions whenever a crisis occurs. |
publishDate |
2008 |
dc.date.none.fl_str_mv |
2008 2008-01-01T00:00:00Z 2010-10-14T09:42:11Z |
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/10400.5/2358 |
url |
http://hdl.handle.net/10400.5/2358 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Araújo, Tanya and Francisco Louçã. 2008. "The dynamics of speculative markets: the case of Portugal's PSI20". Instituto Superior de Economia e Gestão - DE Working papers nº 34-2008/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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1799130979253616640 |