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Publicação
The geometry of crashes - a measure of the dynamics of stock market crises
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Autores
Orientador(es)
Resumo(s)
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust index of the dynamics of the market structure and provides information on the intensity and the sectoral impact of the crises. With this measure, we analyze the effects of some extreme phenomena on the geometry of the market. Nine crashes between 1987 and 2001 are compared by looking at the way they modify the shape of the manifold that describes the S&P500 market space. These crises are identified as (a) structural, (b) general and (c) local.
Descrição
Palavras-chave
Financial Markets Stochastic Geometry Complexity Market Spaces Market Structures
Contexto Educativo
Citação
Araújo, Tanya and Francisco Louçã. 2005. "The geometry of crashes - a measure of the dynamics of stock market crises". Instituto Superior de Economia e Gestão - DE Working papers nº 15-2005/DE/UECE
Editora
ISEG – Departamento de Economia