2005/06/15 by Tanya Araújo, Araújo, Tanya, Francisco Louçã +1
Economics, Econometrics and Finance · Physics and Astronomy · #Chaos control and synchronization #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Financial Risk and Volatility Modeling #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.physics/0506137
openalex publication_date 2005/06/15 · openalex created_date 2022/08/15 · openalex updated_date 2026/07/28
This paper investigates the dynamics of stocks in the S&P500 index for the\nlast 30 years. Using a stochastic geometry technique, we investigate the\nevolution of the market space and define a new measure for that purpose, which\nis a robust index of the dynamics of the market structure and provides\ninformation on the intensity and the sectoral impact of the crises. With this\nmeasure, we analyze the effects of some extreme phenomena on the geometry of\nthe market. Nine crashes between 1987 and 2001 are compared by looking at the\nway they modify the shape of the manifold that describes the S&P500 market\nspace. These crises are identified as (a) structural, (b) general and (c)\nlocal.\n