A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods

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MetadadosDescriçãoIdioma
Autor(es): dc.contributorUniversidade Estadual Paulista (UNESP)-
Autor(es): dc.creatorAires, Debora Barbosa-
Autor(es): dc.creatorCrepaldi, Antonio Fernando-
Data de aceite: dc.date.accessioned2025-08-21T17:15:34Z-
Data de disponibilização: dc.date.available2025-08-21T17:15:34Z-
Data de envio: dc.date.issued2022-11-29-
Data de envio: dc.date.issued2022-11-29-
Data de envio: dc.date.issued2022-09-14-
Fonte completa do material: dc.identifierhttp://dx.doi.org/10.1142/S0219477522500559-
Fonte completa do material: dc.identifierhttp://hdl.handle.net/11449/237867-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/11449/237867-
Descrição: dc.descriptionSeveral approaches and concepts of physics, such as Random Matrix Theory, have been used to investigate the complexity of financial time series. This study aims to analyze the spectrum of stock correlation in the Brazilian stock market by applying Random Matrix Theory to the subprime and Asian financial crisis periods and their temporal neighborhoods. Results show evident synchronized market behavior during both crises. The results also show that the period preceding a crisis presents symptoms which may predict future crises. Thereby, the methodology presented here could be used by the market as a tool that helps to anticipate possible market fluctuations.-
Descrição: dc.descriptionSao Paulo State Univ UNESP, Sch Engn, Dept Prod Engn, Av Eng Luiz Edmundo C Coube 14-01, BR-17033360 Bauru, SP, Brazil-
Descrição: dc.descriptionSao Paulo State Univ UNESP, Sch Engn, Dept Prod Engn, Av Eng Luiz Edmundo C Coube 14-01, BR-17033360 Bauru, SP, Brazil-
Formato: dc.format18-
Idioma: dc.languageen-
Publicador: dc.publisherWorld Scientific Publ Co Pte Ltd-
Relação: dc.relationFluctuation And Noise Letters-
???dc.source???: dc.sourceWeb of Science-
Palavras-chave: dc.subjectCross-correlation analysis-
Palavras-chave: dc.subjectRandom matrix theory-
Palavras-chave: dc.subject2008 financial crisis-
Palavras-chave: dc.subjectAsian financial crisis-
Palavras-chave: dc.subjectBrazilian stock market-
Título: dc.titleA Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods-
Tipo de arquivo: dc.typelivro digital-
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