A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market

Detalhes bibliográficos
Autor(a) principal: Araújo, Tania
Data de Publicação: 2013
Outros Autores: Dias, João, Eleutério, Samuel, 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/10400.5/25916
Resumo: This paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the traditional analysis of the nature of financial markets implicit in the most popular models. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The statistical difficulties of this approach are discussed and a new solution is proposed to the consideration of a large space of variables in an accurate measurement of the dynamics of the market. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only a single index representing the market
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spelling A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional marketMultivariate KurtosisMarket CrisesStochastic GeometryEfficient Market HypothesisThis paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the traditional analysis of the nature of financial markets implicit in the most popular models. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The statistical difficulties of this approach are discussed and a new solution is proposed to the consideration of a large space of variables in an accurate measurement of the dynamics of the market. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only a single index representing the marketElsevierRepositório da Universidade de LisboaAraújo, TaniaDias, JoãoEleutério, SamuelLouçã, Francisco2022-11-04T15:29:36Z20132013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25916engAraújo, Tanya … [ et al.]. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market" .Physica A, Statistical Mechanics and its Applications Vol. 392, No. 17: pp. 3708-3714.0378-437110.1016/j.physa.2013.04.019info: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:RCAAP2023-03-06T14:55:26Zoai:www.repository.utl.pt:10400.5/25916Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:38.935613Repositório 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 A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
title A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
spellingShingle A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
Araújo, Tania
Multivariate Kurtosis
Market Crises
Stochastic Geometry
Efficient Market Hypothesis
title_short A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
title_full A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
title_fullStr A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
title_full_unstemmed A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
title_sort A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
author Araújo, Tania
author_facet Araújo, Tania
Dias, João
Eleutério, Samuel
Louçã, Francisco
author_role author
author2 Dias, João
Eleutério, Samuel
Louçã, Francisco
author2_role author
author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Araújo, Tania
Dias, João
Eleutério, Samuel
Louçã, Francisco
dc.subject.por.fl_str_mv Multivariate Kurtosis
Market Crises
Stochastic Geometry
Efficient Market Hypothesis
topic Multivariate Kurtosis
Market Crises
Stochastic Geometry
Efficient Market Hypothesis
description This paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the traditional analysis of the nature of financial markets implicit in the most popular models. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The statistical difficulties of this approach are discussed and a new solution is proposed to the consideration of a large space of variables in an accurate measurement of the dynamics of the market. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only a single index representing the market
publishDate 2013
dc.date.none.fl_str_mv 2013
2013-01-01T00:00:00Z
2022-11-04T15:29:36Z
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/10400.5/25916
url http://hdl.handle.net/10400.5/25916
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Araújo, Tanya … [ et al.]. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market" .Physica A, Statistical Mechanics and its Applications Vol. 392, No. 17: pp. 3708-3714.
0378-4371
10.1016/j.physa.2013.04.019
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 Elsevier
publisher.none.fl_str_mv Elsevier
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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