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How Fama went wrong : measures of multivariate kurtosis for the identification ...
Araújo, Tanya; Dias, João; Eleutério, Samuel; Louçã, FranciscoThis paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kur...
Portfolios and the market geometry
Eleutério, Samuel; Araújo, Tanya; Mendes, R. VilelaA geometric analysis of the time series of returns has been performed in the past and it implied that the most of the systematic information of the market is contained in a space of small dimension. Here we have explored subspaces of this space to find out the relative performance of portfolios formed from companies that have the largest projections in each one of the subspaces. It was found that the best perfo...
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