Tribes under threat : the collective behavior of firms during the stock market crisis
Autor(a) principal: | |
---|---|
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/10400.5/12064 |
Resumo: | Due to their unpredictable behavior, stock markets are examples of complex systems. Yet, the dominant analysis of these markets as- sumes simple stochastic variations, eventually tainted by short-lived memory. This paper proposes an alternative strategy, based on a stochastic geometry defining a robust index of the structural dynamics of the markets and based on notions of topology defining a new coef- ficient that identifies the structural changes occurring on the S&P500 set of stocks. The results demonstrate the consistency of the random hypothesis as applied to normal periods but they also show its in- adequacy as to the analysis of periods of turbulence, for which the emergence of collective behavior of sectoral clusters of firms is mea- sured. This behavior is identified as a meta-routine. |
id |
RCAP_53b58a87df4b4c4289dd1afe9d95c68c |
---|---|
oai_identifier_str |
oai:www.repository.utl.pt:10400.5/12064 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Tribes under threat : the collective behavior of firms during the stock market crisisEconomic TheoryBehavior of FirmsStock MarketsComplex SystemsStocastic VariationsDue to their unpredictable behavior, stock markets are examples of complex systems. Yet, the dominant analysis of these markets as- sumes simple stochastic variations, eventually tainted by short-lived memory. This paper proposes an alternative strategy, based on a stochastic geometry defining a robust index of the structural dynamics of the markets and based on notions of topology defining a new coef- ficient that identifies the structural changes occurring on the S&P500 set of stocks. The results demonstrate the consistency of the random hypothesis as applied to normal periods but they also show its in- adequacy as to the analysis of periods of turbulence, for which the emergence of collective behavior of sectoral clusters of firms is mea- sured. This behavior is identified as a meta-routine.ISEG : Departamento de EconomiaRepositório da Universidade de LisboaAraújo, TanyaLouçã, Francisco2016-09-13T13:10:07Z20082008-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/12064engAraújo, Tanya and Francisco Louçã. 2008. "Tribes under threat : the collective behavior of firms during the stock market crisis". Instituto Superior de Economia e Gestão - DE Working papers nº 28/2008/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:RCAAP2023-11-26T01:31:37Zoai:www.repository.utl.pt:10400.5/12064Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:58:15.715314Repositório 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 |
Tribes under threat : the collective behavior of firms during the stock market crisis |
title |
Tribes under threat : the collective behavior of firms during the stock market crisis |
spellingShingle |
Tribes under threat : the collective behavior of firms during the stock market crisis Araújo, Tanya Economic Theory Behavior of Firms Stock Markets Complex Systems Stocastic Variations |
title_short |
Tribes under threat : the collective behavior of firms during the stock market crisis |
title_full |
Tribes under threat : the collective behavior of firms during the stock market crisis |
title_fullStr |
Tribes under threat : the collective behavior of firms during the stock market crisis |
title_full_unstemmed |
Tribes under threat : the collective behavior of firms during the stock market crisis |
title_sort |
Tribes under threat : the collective behavior of firms during the stock market crisis |
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 |
Economic Theory Behavior of Firms Stock Markets Complex Systems Stocastic Variations |
topic |
Economic Theory Behavior of Firms Stock Markets Complex Systems Stocastic Variations |
description |
Due to their unpredictable behavior, stock markets are examples of complex systems. Yet, the dominant analysis of these markets as- sumes simple stochastic variations, eventually tainted by short-lived memory. This paper proposes an alternative strategy, based on a stochastic geometry defining a robust index of the structural dynamics of the markets and based on notions of topology defining a new coef- ficient that identifies the structural changes occurring on the S&P500 set of stocks. The results demonstrate the consistency of the random hypothesis as applied to normal periods but they also show its in- adequacy as to the analysis of periods of turbulence, for which the emergence of collective behavior of sectoral clusters of firms is mea- sured. This behavior is identified as a meta-routine. |
publishDate |
2008 |
dc.date.none.fl_str_mv |
2008 2008-01-01T00:00:00Z 2016-09-13T13:10:07Z |
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/10400.5/12064 |
url |
http://hdl.handle.net/10400.5/12064 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Araújo, Tanya and Francisco Louçã. 2008. "Tribes under threat : the collective behavior of firms during the stock market crisis". Instituto Superior de Economia e Gestão - DE Working papers nº 28/2008/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 |
|
_version_ |
1799131067429421056 |