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

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The geometry of crashes. A measure of the dynamics of stock market crisesT Araújo, F Louca - Quantitative Finance, 2007 - Taylor & Francis
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 ...
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