arXiv Open Access 2024

On the Ollivier-Ricci curvature as fragility indicator of the stock markets

Joaquín Sánchez García Sebastian Gherghe

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Abstrak

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.

Topik & Kata Kunci

econ.EM

Penulis (2)

Joaquín Sánchez García

Sebastian Gherghe

Format Sitasi

APA MLA BibTeX

García, J.S., Gherghe, S. (2024). On the Ollivier-Ricci curvature as fragility indicator of the stock markets. https://arxiv.org/abs/2405.07134

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2024
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓