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

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 provide...

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Bibliographic Details
Main Author: Araújo, Tanya (author)
Other Authors: Louçã, Francisco (author)
Format: workingPaper
Language:eng
Published: 2010
Subjects:
Financial Markets
Stochastic Geometry
Complexity
Market Spaces
Market Structures
Online Access:http://hdl.handle.net/10400.5/2683
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/2683

Internet

http://hdl.handle.net/10400.5/2683

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