dorsal/arxiv
View SchemaThe Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
| Authors | Tanya Araújo, Francisco Louçã |
|---|---|
| Categories | |
| ArXiv ID | physics/0506137 |
| URL | https://arxiv.org/abs/physics/0506137 |
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 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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"abstract": "This paper investigates the dynamics of stocks in the S\u0026P500 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\u0026P500 market\nspace. These crises are identified as (a) structural, (b) general and (c)\nlocal.",
"arxiv_id": "physics/0506137",
"authors": [
"Tanya Ara\u00fajo",
"Francisco Lou\u00e7\u00e3"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"title": "The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises",
"url": "https://arxiv.org/abs/physics/0506137"
},
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