The Spread of the Credit Crisis: View from a Stock Correlation Network
AbstractThe credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain markets, in this case the US equity markets, follow a cascade or epidemic flow like model along the correlations of various stocks. A few images and explanation here will suffice to show the phenomenon. Also, whether the idea of "epidemic" or a "cascade" is a metaphor or model for this crisis will be discussed. Animations of the spread of the crisis are available at http://reggiesmithsci.googlepages.com/creditcrisis
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 12659.
Date of creation: 11 Nov 2008
Date of revision: 02 Dec 2008
networks; econophysics; equities; stock market; correlation; credit crisis;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-17 (All new papers)
- NEP-FMK-2009-01-17 (Financial Markets)
- NEP-NET-2009-01-17 (Network Economics)
- NEP-RMG-2009-01-17 (Risk Management)
- NEP-URE-2009-01-17 (Urban & Real Estate Economics)
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