The geometry of crashes - a measure of the dynamics of stock market crises

Bibliographic Details
Main Author: Araújo, Tanya
Publication Date: 2005
Other Authors: Louçã, Francisco
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.5/2683
Summary: 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.
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spelling The geometry of crashes - a measure of the dynamics of stock market crisesFinancial MarketsStochastic GeometryComplexityMarket SpacesMarket StructuresThis 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.ISEG – Departamento de EconomiaRepositório da Universidade de LisboaAraújo, TanyaLouçã, Francisco2010-12-14T16:26:38Z20052005-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/2683engAraújo, 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/UECE0874-4548info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T16:25:40Zoai:repositorio.ulisboa.pt:10400.5/2683Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:14:01.276009Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv The geometry of crashes - a measure of the dynamics of stock market crises
title The geometry of crashes - a measure of the dynamics of stock market crises
spellingShingle The geometry of crashes - a measure of the dynamics of stock market crises
Araújo, Tanya
Financial Markets
Stochastic Geometry
Complexity
Market Spaces
Market Structures
title_short The geometry of crashes - a measure of the dynamics of stock market crises
title_full The geometry of crashes - a measure of the dynamics of stock market crises
title_fullStr The geometry of crashes - a measure of the dynamics of stock market crises
title_full_unstemmed The geometry of crashes - a measure of the dynamics of stock market crises
title_sort The geometry of crashes - a measure of the dynamics of stock market 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 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 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.
publishDate 2005
dc.date.none.fl_str_mv 2005
2005-01-01T00:00:00Z
2010-12-14T16:26:38Z
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/10400.5/2683
url http://hdl.handle.net/10400.5/2683
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 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
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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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