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Reconstructing an economic space from a market metric

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Author Info

  • Vilela Mendes, R.
  • Araújo, Tanya
  • Louçã, Francisco

Abstract

Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related to the number of terms in factor models. Examples were worked out involving sets of companies from the DJIA and S&P500 indexes.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378437103000141
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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 323 (2003)
Issue (Month): C ()
Pages: 635-650

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Handle: RePEc:eee:phsmap:v:323:y:2003:i:c:p:635-650

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Market metric; Economic space; Factors;

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Citations

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Cited by:
  1. Tanya Araujo & João Dias & Samuel Eleutério & Francisco Louçã, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Working Papers Department of Economics 2012/21, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  2. Araújo, Tanya & Spelta, Alessandro, 2014. "Structural changes in cross-border liabilities: A multidimensional approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 277-287.
  3. Samuel Eleut\'erio & Tanya Ara\'ujo & R. Vilela Mendes, 2011. "Portfolios and the market geometry," Papers 1108.4102, arXiv.org.
  4. Tanya Araújo & Francisco Louçã, 2008. "Trouble Ahead – The Subprime Crisis as Evidence of a New Regime in the Stock Market," Working Papers Department of Economics 2008/26, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  5. Alessandro Spelta & Tanya Araújo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Quaderni di Dipartimento 181, University of Pavia, Department of Economics and Quantitative Methods.
  6. Tanya Ara\'ujo & Jo\~ao Dias & Samuel Eleut\'erio & Francisco Lou\c{c}\~a, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Papers 1207.1202, arXiv.org.
  7. Alessandro Spelta & Tanya Ara\'ujo, 2011. "The topology of cross-border exposures: beyond the minimal spanning tree approach," Papers 1112.5711, arXiv.org.
  8. João Lopes, 2011. "Industrial Clustering and Sectoral Growth: a Network Dynamics Approach," ERSA conference papers ersa11p637, European Regional Science Association.
  9. Tanya Ara\'{u}jo & Francisco Lou\c{c}\~{a}, 2005. "The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises," Papers physics/0506137, arXiv.org, revised Jul 2005.
  10. Tanya Araujo & Francisco Louca, 2007. "The geometry of crashes. A measure of the dynamics of stock market crises," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 63-74.
  11. Tanya Araújo & Francisco Louçã, 2008. "Bargaining Clouds, or Mathematics as a Metaphoric Exploration of the Unexpected," Working Papers Department of Economics 2008/27, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  12. Alessandro Spelta & Tanya Araújo, 2012. "The topology of cross-border exposures: beyond the minimal spanning tree approach," Working Papers Department of Economics 2012/11, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  13. Tanya Araùjo & Alessandro Spelta, 2013. "Structural changes in cross-border liabilities: a multidimensional approach," DEM Working Papers Series 050, University of Pavia, Department of Economics and Management.
  14. Tanya Ara\'{u}jo & Francisco Lou\c{c}\~{a}, 2004. "Complex Behavior of Stock Markets: Processes of Synchronization and Desynchronization during Crises," Papers cond-mat/0403333, arXiv.org, revised Mar 2004.
  15. Tanya Araújo & Francisco Louçã, 2008. "Tribes under Threat – The Collective Behavior of Firms During the Stock Market Crisis," Working Papers Department of Economics 2008/28, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  16. Alessandro Spelta & Tanya Ara\'ujo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Papers 1205.5675, arXiv.org.
  17. Tanya Araújo & Francisco Louçã, 2008. "The Dynamics of Speculative Markets: The Case of Portugal’s PSI20," Working Papers Department of Economics 2008/34, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.

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