A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UNESP |
Texto Completo: | http://dx.doi.org/10.1142/S0219477522500559 http://hdl.handle.net/11449/237867 |
Resumo: | Several approaches and concepts of physics, such as Random Matrix Theory, have been used to investigate the complexity of financial time series. This study aims to analyze the spectrum of stock correlation in the Brazilian stock market by applying Random Matrix Theory to the subprime and Asian financial crisis periods and their temporal neighborhoods. Results show evident synchronized market behavior during both crises. The results also show that the period preceding a crisis presents symptoms which may predict future crises. Thereby, the methodology presented here could be used by the market as a tool that helps to anticipate possible market fluctuations. |
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Repositório Institucional da UNESP |
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A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal NeighborhoodsCross-correlation analysisRandom matrix theory2008 financial crisisAsian financial crisisBrazilian stock marketSeveral approaches and concepts of physics, such as Random Matrix Theory, have been used to investigate the complexity of financial time series. This study aims to analyze the spectrum of stock correlation in the Brazilian stock market by applying Random Matrix Theory to the subprime and Asian financial crisis periods and their temporal neighborhoods. Results show evident synchronized market behavior during both crises. The results also show that the period preceding a crisis presents symptoms which may predict future crises. Thereby, the methodology presented here could be used by the market as a tool that helps to anticipate possible market fluctuations.Sao Paulo State Univ UNESP, Sch Engn, Dept Prod Engn, Av Eng Luiz Edmundo C Coube 14-01, BR-17033360 Bauru, SP, BrazilSao Paulo State Univ UNESP, Sch Engn, Dept Prod Engn, Av Eng Luiz Edmundo C Coube 14-01, BR-17033360 Bauru, SP, BrazilWorld Scientific Publ Co Pte LtdUniversidade Estadual Paulista (UNESP)Aires, Debora Barbosa [UNESP]Crepaldi, Antonio Fernando [UNESP]2022-11-30T13:47:05Z2022-11-30T13:47:05Z2022-09-14info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article18http://dx.doi.org/10.1142/S0219477522500559Fluctuation And Noise Letters. Singapore: World Scientific Publ Co Pte Ltd, 18 p., 2022.0219-4775http://hdl.handle.net/11449/23786710.1142/S0219477522500559WOS:000853951500001Web of Sciencereponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengFluctuation And Noise Lettersinfo:eu-repo/semantics/openAccess2024-06-28T13:17:59Zoai:repositorio.unesp.br:11449/237867Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462024-08-05T16:30:16.606239Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false |
dc.title.none.fl_str_mv |
A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods |
title |
A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods |
spellingShingle |
A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods Aires, Debora Barbosa [UNESP] Cross-correlation analysis Random matrix theory 2008 financial crisis Asian financial crisis Brazilian stock market |
title_short |
A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods |
title_full |
A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods |
title_fullStr |
A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods |
title_full_unstemmed |
A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods |
title_sort |
A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods |
author |
Aires, Debora Barbosa [UNESP] |
author_facet |
Aires, Debora Barbosa [UNESP] Crepaldi, Antonio Fernando [UNESP] |
author_role |
author |
author2 |
Crepaldi, Antonio Fernando [UNESP] |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Universidade Estadual Paulista (UNESP) |
dc.contributor.author.fl_str_mv |
Aires, Debora Barbosa [UNESP] Crepaldi, Antonio Fernando [UNESP] |
dc.subject.por.fl_str_mv |
Cross-correlation analysis Random matrix theory 2008 financial crisis Asian financial crisis Brazilian stock market |
topic |
Cross-correlation analysis Random matrix theory 2008 financial crisis Asian financial crisis Brazilian stock market |
description |
Several approaches and concepts of physics, such as Random Matrix Theory, have been used to investigate the complexity of financial time series. This study aims to analyze the spectrum of stock correlation in the Brazilian stock market by applying Random Matrix Theory to the subprime and Asian financial crisis periods and their temporal neighborhoods. Results show evident synchronized market behavior during both crises. The results also show that the period preceding a crisis presents symptoms which may predict future crises. Thereby, the methodology presented here could be used by the market as a tool that helps to anticipate possible market fluctuations. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-11-30T13:47:05Z 2022-11-30T13:47:05Z 2022-09-14 |
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://dx.doi.org/10.1142/S0219477522500559 Fluctuation And Noise Letters. Singapore: World Scientific Publ Co Pte Ltd, 18 p., 2022. 0219-4775 http://hdl.handle.net/11449/237867 10.1142/S0219477522500559 WOS:000853951500001 |
url |
http://dx.doi.org/10.1142/S0219477522500559 http://hdl.handle.net/11449/237867 |
identifier_str_mv |
Fluctuation And Noise Letters. Singapore: World Scientific Publ Co Pte Ltd, 18 p., 2022. 0219-4775 10.1142/S0219477522500559 WOS:000853951500001 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Fluctuation And Noise Letters |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
18 |
dc.publisher.none.fl_str_mv |
World Scientific Publ Co Pte Ltd |
publisher.none.fl_str_mv |
World Scientific Publ Co Pte Ltd |
dc.source.none.fl_str_mv |
Web of Science reponame:Repositório Institucional da UNESP instname:Universidade Estadual Paulista (UNESP) instacron:UNESP |
instname_str |
Universidade Estadual Paulista (UNESP) |
instacron_str |
UNESP |
institution |
UNESP |
reponame_str |
Repositório Institucional da UNESP |
collection |
Repositório Institucional da UNESP |
repository.name.fl_str_mv |
Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP) |
repository.mail.fl_str_mv |
|
_version_ |
1808128662733586432 |