Sep 21, 2009

Articles in journals

Araújo, T., Louçã, F.

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The paper presents an empirically oriented investigation on the dynamics of a specific case of a multi-agents system, the stock market. It demonstrates that S&P500 market space can be described using the geometrical and topological characteristics of its dynamics. We proposed to measure the coefficient R, an index providing information on the evolution of a manifold describing the dynamics of the market. It indicates the moments of perturbations, proving that the dynamics is driven by shocks and by a structural change. This dynamics has a characteristic dimension, which also allows for a description of its evolution. The consequent description of the market as a network of stocks is useful for the identification of patterns that emerge from multi-agent interaction, and defines our research, as it is derived from a system of measure and it is part of the logic of a defined mathematics.