On the Ollivier-Ricci curvature as fragility indicator of the stock markets
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866911874647326720 |
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| author | García, Joaquín Sánchez Gherghe, Sebastian |
| author_facet | García, Joaquín Sánchez Gherghe, Sebastian |
| contents | Recently, an indicator for stock market fragility and crash size in terms of the Ollivier-Ricci curvature has been proposed. We study analytical and empirical properties of such indicator, test its elasticity with respect to different parameters and provide heuristics for the parameters involved. We show when and how the indicator accurately describes a financial crisis. We also propose an alternate method for calculating the indicator using a specific sub-graph with special curvature properties. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_07134 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On the Ollivier-Ricci curvature as fragility indicator of the stock markets García, Joaquín Sánchez Gherghe, Sebastian Econometrics Recently, an indicator for stock market fragility and crash size in terms of the Ollivier-Ricci curvature has been proposed. We study analytical and empirical properties of such indicator, test its elasticity with respect to different parameters and provide heuristics for the parameters involved. We show when and how the indicator accurately describes a financial crisis. We also propose an alternate method for calculating the indicator using a specific sub-graph with special curvature properties. |
| title | On the Ollivier-Ricci curvature as fragility indicator of the stock markets |
| topic | Econometrics |
| url | https://arxiv.org/abs/2405.07134 |