The geometry of crashes. A measure of the dynamics of stock market crises

Tanya Araújo and Francisco Louçã ()

Quantitative Finance, 2007, vol. 7, issue 1, 63-74

Abstract: This paper investigates the dynamics of stocks in the S&P 500 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 that is a robust index of the dynamics of the market structure and provides information on the intensity and the sectoral impact of crises. With this measure, we analyse the effects of 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&P 500 market space.

Keywords: Agent-based modelling; Applied finance; Artificial economy; Complexity in economics; Complexity in finance; Computational finance; Economic modelling; Evolutionary model of currency crisis (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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Working Paper: The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:7:y:2007:i:1:p:63-74

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DOI: 10.1080/14697680601019530

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