Sep 21, 2008

Articles in journals

Araújo, T., Louçã, F.

372

5

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.

Financial markets,Stochastic geometry