Journal article | Zeitschriftenartikel
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 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.
- Umfang
-
Seite(n): 63-74
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Quantitative Finance, 7(1)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Araujo, Tanya Vianna
Lou, Francisco
- Ereignis
-
Veröffentlichung
- (wo)
-
Vereinigtes Königreich
- (wann)
-
2007
- DOI
- URN
-
urn:nbn:de:0168-ssoar-220923
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:26 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Zeitschriftenartikel
Beteiligte
- Araujo, Tanya Vianna
- Lou, Francisco
Entstanden
- 2007
Ähnliche Objekte (12)
The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
Measure, topology, and fractal geometry
Measure, topology and fractal geometry
Are Pedelec crashes different to bicycle crashes? : A comparison of national accident data in Germany
Construction of a Dirichlet form on Metric Measure Spaces of Controlled Geometry
Recovery from fast crashes: Role of mutual funds
Determinants of Bicycle Crashes at Urban Signalised lntersections
Association of waterpipe smoking and road traffic crashes
Characterization of micromobility crashes in Spain (2016-2020)
Recovery from fast crashes: role of mutual funds
Stock price crashes: role of slow-moving capital
Surface measure on, and the local geometry of, sub-Riemannian manifolds
The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
Measure, topology, and fractal geometry
Measure, topology and fractal geometry
Are Pedelec crashes different to bicycle crashes? : A comparison of national accident data in Germany
Construction of a Dirichlet form on Metric Measure Spaces of Controlled Geometry
Recovery from fast crashes: Role of mutual funds
Determinants of Bicycle Crashes at Urban Signalised lntersections
Association of waterpipe smoking and road traffic crashes
Characterization of micromobility crashes in Spain (2016-2020)
Recovery from fast crashes: role of mutual funds
Stock price crashes: role of slow-moving capital
Surface measure on, and the local geometry of, sub-Riemannian manifolds
The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
Measure, topology, and fractal geometry
Measure, topology and fractal geometry
Are Pedelec crashes different to bicycle crashes? : A comparison of national accident data in Germany
Construction of a Dirichlet form on Metric Measure Spaces of Controlled Geometry
Recovery from fast crashes: Role of mutual funds
Determinants of Bicycle Crashes at Urban Signalised lntersections
Association of waterpipe smoking and road traffic crashes
Characterization of micromobility crashes in Spain (2016-2020)
Recovery from fast crashes: role of mutual funds
Stock price crashes: role of slow-moving capital