The seismography of crashes in financial markets

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/10400.5/2570
Resumo: This paper 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 tech¬nique and defining a robust index of the dynamics of the market struc¬ture, which is able to provide information about the intensity of the crises, the paper proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to inves¬tigate and to classify the impact of the twelve crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de sicle.
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spelling The seismography of crashes in financial marketsFinancial MarketsStochastic GeometryComplexityMarket SpacesMarket StructuresThis paper 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 tech¬nique and defining a robust index of the dynamics of the market struc¬ture, which is able to provide information about the intensity of the crises, the paper proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to inves¬tigate and to classify the impact of the twelve crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de sicle.ISEG – Departamento de EconomiaRepositório da Universidade de LisboaAraújo, TanyaLouçã, Francisco2010-11-24T16:30:28Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/2570engAraújo, Tanya e Francisco Louçã. 2007. "The seismography of crashes in financial markets". Instituto Superior de Economia e Gestão - DE Working papers nº 5-2007/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:RCAAP2023-03-06T14:33:45Zoai:www.repository.utl.pt:10400.5/2570Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:50:33.602329Repositório 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 Markets
Stochastic Geometry
Complexity
Market Spaces
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 Markets
Stochastic Geometry
Complexity
Market Spaces
Market Structures
topic Financial Markets
Stochastic Geometry
Complexity
Market Spaces
Market Structures
description This paper 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 tech¬nique and defining a robust index of the dynamics of the market struc¬ture, which is able to provide information about the intensity of the crises, the paper proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to inves¬tigate and to classify the impact of the twelve crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de sicle.
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2010-11-24T16:30:28Z
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/10400.5/2570
url http://hdl.handle.net/10400.5/2570
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Araújo, Tanya e Francisco Louçã. 2007. "The seismography of crashes in financial markets". Instituto Superior de Economia e Gestão - DE Working papers nº 5-2007/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
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