کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1864928 1037768 2008 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The seismography of crashes in financial markets
موضوعات مرتبط
مهندسی و علوم پایه فیزیک و نجوم فیزیک و نجوم (عمومی)
پیش نمایش صفحه اول مقاله
The seismography of crashes in financial markets
چکیده انگلیسی

This Letter 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 technique and defining a robust index of the dynamics of the market structure, which is able to provide information about the intensity of the crises, the Letter proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to investigate and to classify the impact of the thirteen crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de siècle.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physics Letters A - Volume 372, Issue 4, 21 January 2008, Pages 429–434
نویسندگان
, ,