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

dc.contributorUniversidade Estadual Paulista (UNESP)
dc.date.accessioned2022-11-30T13:47:05Z
dc.date.accessioned2022-12-20T14:51:41Z
dc.date.available2022-11-30T13:47:05Z
dc.date.available2022-12-20T14:51:41Z
dc.date.created2022-11-30T13:47:05Z
dc.date.issued2022-09-14
dc.identifierFluctuation And Noise Letters. Singapore: World Scientific Publ Co Pte Ltd, 18 p., 2022.
dc.identifier0219-4775
dc.identifierhttp://hdl.handle.net/11449/237867
dc.identifier10.1142/S0219477522500559
dc.identifierWOS:000853951500001
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5417923
dc.description.abstractSeveral 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.
dc.languageeng
dc.publisherWorld Scientific Publ Co Pte Ltd
dc.relationFluctuation And Noise Letters
dc.sourceWeb of Science
dc.subjectCross-correlation analysis
dc.subjectRandom matrix theory
dc.subject2008 financial crisis
dc.subjectAsian financial crisis
dc.subjectBrazilian stock market
dc.titleA Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods
dc.typeArtículos de revistas


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