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ISEG  >  Economia  >  TANYA VIANNA DE ARAUJO

Computational Economics and Finance

    The stochastic geometry technique

    This approach develops and applies a stochastic geometry technique designed to describe the dynamics of an object emerging from the collective behaviour of the market. In the current case, the market is analyzed according to the evolution of the population of 500 stocks of the S&P500 index and including firms for the whole period from August 1973 to November 2010.
    Next steps in this direction are planned to deal with the characterization of how non-rational behaviour of human groups and individuals may be incorporated in market models to obtain a better understanding of current market events.