Complex behavior of stock markets : processes of synchronization and desynchronization during crises
Autor(a) principal: | |
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Data de Publicação: | 2004 |
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/10400.5/25945 |
Resumo: | This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a reduced number of dimensions. Such feature is understood as empirical evidence for the presence of a certain amount of structure in the market. As part of the inquiry into the structure of the market we investigate changes in its volume and shape, and we define new measures for that purpose. Having these measures defined in the space of stocks we analyze the effects of some extreme phenomena on the geometry of the market. We discuss the hypothesis that collective behavior in period of crises reinforces the structure of correlations between stocks, but that it also may have an opposite effect on clustering by similar economic sectors. Comparing the crises of 1987 and 2001, we discuss why the expansion of the ellipsoid describing the geometry of the distances in the market, which occurs in the latter period, is not homogeneous through sectors. The conclusions from this research identify some of the changes in the structure of the market over the last 30 years |
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Complex behavior of stock markets : processes of synchronization and desynchronization during crisesStock MarketsS&P500 indexCurrency CrisesApplied FinanceComplexity in EconomicsArtificial EconomyThis paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a reduced number of dimensions. Such feature is understood as empirical evidence for the presence of a certain amount of structure in the market. As part of the inquiry into the structure of the market we investigate changes in its volume and shape, and we define new measures for that purpose. Having these measures defined in the space of stocks we analyze the effects of some extreme phenomena on the geometry of the market. We discuss the hypothesis that collective behavior in period of crises reinforces the structure of correlations between stocks, but that it also may have an opposite effect on clustering by similar economic sectors. Comparing the crises of 1987 and 2001, we discuss why the expansion of the ellipsoid describing the geometry of the distances in the market, which occurs in the latter period, is not homogeneous through sectors. The conclusions from this research identify some of the changes in the structure of the market over the last 30 yearsCornell UniversityRepositório da Universidade de LisboaAraújo, TanyaLouçã, Francisco2022-11-07T15:17:22Z20042004-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25945engAraújo, Tanya and Francisco Louçã. (2004). "Complex behavior of stock markets: processes of synchronization and desynchronization during crises". arXiv preprint cond-mat/0403333. (Research PDF at 2022).info: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:RCAAP2023-03-06T14:55:28Zoai:www.repository.utl.pt:10400.5/25945Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:40.179692Repositório 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 |
Complex behavior of stock markets : processes of synchronization and desynchronization during crises |
title |
Complex behavior of stock markets : processes of synchronization and desynchronization during crises |
spellingShingle |
Complex behavior of stock markets : processes of synchronization and desynchronization during crises Araújo, Tanya Stock Markets S&P500 index Currency Crises Applied Finance Complexity in Economics Artificial Economy |
title_short |
Complex behavior of stock markets : processes of synchronization and desynchronization during crises |
title_full |
Complex behavior of stock markets : processes of synchronization and desynchronization during crises |
title_fullStr |
Complex behavior of stock markets : processes of synchronization and desynchronization during crises |
title_full_unstemmed |
Complex behavior of stock markets : processes of synchronization and desynchronization during crises |
title_sort |
Complex behavior of stock markets : processes of synchronization and desynchronization during 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 |
Stock Markets S&P500 index Currency Crises Applied Finance Complexity in Economics Artificial Economy |
topic |
Stock Markets S&P500 index Currency Crises Applied Finance Complexity in Economics Artificial Economy |
description |
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a reduced number of dimensions. Such feature is understood as empirical evidence for the presence of a certain amount of structure in the market. As part of the inquiry into the structure of the market we investigate changes in its volume and shape, and we define new measures for that purpose. Having these measures defined in the space of stocks we analyze the effects of some extreme phenomena on the geometry of the market. We discuss the hypothesis that collective behavior in period of crises reinforces the structure of correlations between stocks, but that it also may have an opposite effect on clustering by similar economic sectors. Comparing the crises of 1987 and 2001, we discuss why the expansion of the ellipsoid describing the geometry of the distances in the market, which occurs in the latter period, is not homogeneous through sectors. The conclusions from this research identify some of the changes in the structure of the market over the last 30 years |
publishDate |
2004 |
dc.date.none.fl_str_mv |
2004 2004-01-01T00:00:00Z 2022-11-07T15:17:22Z |
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/10400.5/25945 |
url |
http://hdl.handle.net/10400.5/25945 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Araújo, Tanya and Francisco Louçã. (2004). "Complex behavior of stock markets: processes of synchronization and desynchronization during crises". arXiv preprint cond-mat/0403333. (Research PDF at 2022). |
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 |
Cornell University |
publisher.none.fl_str_mv |
Cornell University |
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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131191799971841 |