Smith, Reginald (2008): The Spread of the Credit Crisis: View from a Stock Correlation Network. Forthcoming in: Journal of the Korean Physical Society , Vol. 54, No. 6 (15. June 2009)
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The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain markets, in this case the US equity markets, follow a cascade or epidemic flow like model along the correlations of various stocks. A few images and explanation here will suffice to show the phenomenon. Also, whether the idea of "epidemic" or a "cascade" is a metaphor or model for this crisis will be discussed.
Animations of the spread of the crisis are available at http://reggiesmithsci.googlepages.com/creditcrisis
|Item Type:||MPRA Paper|
|Original Title:||The Spread of the Credit Crisis: View from a Stock Correlation Network|
|Keywords:||networks, econophysics, equities, stock market, correlation, credit crisis|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Reginald Smith|
|Date Deposited:||01. Jun 2009 07:03|
|Last Modified:||21. Feb 2013 03:31|
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Available Versions of this Item
The Spread of the Credit Crisis: View from a Stock Correlation Network. (deposited 14. Jan 2009 06:55)
The Spread of the Credit Crisis: View from a Stock Correlation Network. (deposited 02. Mar 2009 00:13)
- The Spread of the Credit Crisis: View from a Stock Correlation Network. (deposited 01. Jun 2009 07:03) [Currently Displayed]
- The Spread of the Credit Crisis: View from a Stock Correlation Network. (deposited 02. Mar 2009 00:13)