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The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
[journal article]
Abstract 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 in... view more
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.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Political Economy
Free Keywords
Market Microstructure; Complexity in Finance; Market Prediction; Experimental Finance; Financial Markets; Correlation Structures; Empirical Time Series Analysis; Complexity in Economics
Document language
English
Publication Year
2007
Page/Pages
p. 63-74
Journal
Quantitative Finance, 7 (2007) 1
DOI
https://doi.org/10.1080/14697680601019530
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)