The Seismography of Crashes in Financial Markets

Tanya Vianna de Araújo () and Francisco Louçã

No 2007/05, Working Papers from Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.

Abstract: This paper investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the population of all companies present in the index for the whole period. Using a stochastic geometry tech- nique and defining a robust index of the dynamics of the market struc- ture, which is able to provide information about the intensity of the crises, the paper proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to inves- tigate and to classify the impact of the twelve crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de sicle.

Keywords: Keywords: financial markets; stochastic geometry; complexity; market spaces; market structures. (search for similar items in EconPapers)
JEL-codes: C0 G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-his
Date: 2007-03
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Persistent link: http://EconPapers.repec.org/RePEc:ise:isegwp:wp52007

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