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

DOI10.1080/14697680601019530zbMath1278.91116arXivphysics/0506137OpenAlexW2108914359WikidataQ56930907 ScholiaQ56930907MaRDI QIDQ3439868

Tanya Araújo, Francisco Louçã

Publication date: 18 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0506137

zbMATH Keywords

agent-based modellingcomputational financeeconomic modellingartificial economycomplexity in financeapplied financecomplexity in economicsevolutionary model of currency crisis

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Statistical methods; economic indices and measures (91B82)

Related Items (6)

A fractional calculus interpretation of the fractional volatility model ⋮ A measure of multivariate kurtosis for the identification of the dynamics of a \(N\)-dimensional market ⋮ STOCK MARKET DIFFERENCES IN CORRELATION-BASED WEIGHTED NETWORK ⋮ The seismography of crashes in financial markets ⋮ What is the impact of wealth shocks on asset allocation? ⋮ Topological energy of the distance matrix

Cites Work

• Endogenous versus exogenous shocks in systems with memory
• Reconstructing an economic space from a market metric
• Dynamic asset trees and Black Monday
• The geometry of graphs and some of its algorithmic applications
• Structure-generating mechanisms in agent-based models
• Levels of complexity in financial markets

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