Advanced Search
MyIDEAS: Login

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

Contents:

Author Info

  • Tanya Araujo
  • Francisco Louca

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.tandfonline.com/doi/abs/10.1080/14697680601019530
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

Volume (Year): 7 (2007)
Issue (Month): 1 ()
Pages: 63-74

as in new window
Handle: RePEc:taf:quantf:v:7:y:2007:i:1:p:63-74

Contact details of provider:
Web page: http://www.tandfonline.com/RQUF20

Order Information:
Web: http://www.tandfonline.com/pricing/journal/RQUF20

Related research

Keywords: Agent-based modelling; Applied finance; Artificial economy; Complexity in economics; Complexity in finance; Computational finance; Economic modelling; Evolutionary model of currency crisis;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. T. Di Matteo & T. Aste & R. N. Mantegna, 2004. "An interest rates cluster analysis," Papers cond-mat/0401443, arXiv.org.
  2. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 11(1), pages 193-197, September.
  3. Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2000. "High-frequency Cross-correlation in a Set of Stocks," Papers cond-mat/0009350, arXiv.org, revised Nov 2000.
  4. Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2001. "Levels of complexity in financial markets," Papers cond-mat/0104369, arXiv.org.
  5. A. Johansen & D. Sornette, 2002. "Endogenous versus Exogenous Crashes in Financial Markets," Papers cond-mat/0210509, arXiv.org.
  6. Fabrizio Lillo & Rosario N. Mantegna, 2002. "Dynamics of a financial market index after a crash," Papers cond-mat/0209685, arXiv.org.
  7. Matteo Marsili, 2002. "Dissecting financial markets: Sectors and states," Papers cond-mat/0207156, arXiv.org.
  8. Kullmann, L & Kertész, J & Mantegna, R.N, 2000. "Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 412-419.
  9. Mendes, R.Vilela, 2001. "Structure-generating mechanisms in agent-based models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 295(3), pages 537-561.
  10. Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003. "Reconstructing an economic space from a market metric," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 635-650.
  11. G. Bonanno & G. Caldarelli & F. Lillo & S. Micciché & N. Vandewalle & R. Mantegna, 2004. "Networks of equities in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 38(2), pages 363-371, 03.
  12. R. Vilela Mendes & Tanya Ara\'{u}jo & Francisco Lou\c{c}\~{a}, 2002. "Reconstructing an economic space from a market metric," Papers cond-mat/0211108, arXiv.org.
  13. Onnela, J.-P. & Chakraborti, A. & Kaski, K. & Kertész, J., 2003. "Dynamic asset trees and Black Monday," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 247-252.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.
  2. Lee, Junghoon & Youn, Janghyuk & Chang, Woojin, 2012. "Intraday volatility and network topological properties in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1354-1360.
  3. 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.
  4. 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.
  5. Alessandro Spelta & Tanya Araujo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Working Papers Department of Economics 2012/19, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  6. Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.
  7. Araújo, Tanya & Dias, João & Eleutério, Samuel & Louçã, Francisco, 2013. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3708-3714.
  8. Tanya Araujo & Francisco Louçã, 2007. "The Seismography of Crashes in Financial Markets," Working Papers Department of Economics 2007/05, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  9. Naylor, Michael J. & Rose, Lawrence C. & Moyle, Brendan J., 2007. "Topology of foreign exchange markets using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 199-208.
  10. Samuel Eleut\'erio & Tanya Ara\'ujo & R. Vilela Mendes, 2011. "Portfolios and the market geometry," Papers 1108.4102, arXiv.org.
  11. 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.
  12. 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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:7:y:2007:i:1:p:63-74. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.