Araujo, Tanya; Louca, Francisco - In: Quantitative Finance 7 (2007) 1, pp. 63-74
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 structure and provides...