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Market structure dynamics during COVID-19 outbreak

Author

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  • Pier Francesco Procacci
  • Carolyn E. Phelan
  • Tomaso Aste

Abstract

In this note, we discuss the impact of the COVID-19 outbreak from the perspective of the market-structure. We observe that the US market-structure has dramatically changed during the past four weeks and that the level of change has followed the number of infected cases reported in the USA. Presently, market-structure resembles most closely the structure during the middle of the 2008 crisis but there are signs that it may be starting to evolve into a new structure altogether. This is the first article of a series where we will be analyzing and discussing market-structure as it evolves to a state of further instability or, more optimistically, stabilization and recovery.

Suggested Citation

  • Pier Francesco Procacci & Carolyn E. Phelan & Tomaso Aste, 2020. "Market structure dynamics during COVID-19 outbreak," Papers 2003.10922, arXiv.org.
    • Handle: RePEc:arx:papers:2003.10922
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    File URL: http://arxiv.org/pdf/2003.10922
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    References listed on IDEAS

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    1. Barfuss, Wolfram & Massara, Guido Previde & Di Matteo, T. & Aste, Tomaso, 2016. "Parsimonious modeling with information filtering networks," LSE Research Online Documents on Economics 68860, London School of Economics and Political Science, LSE Library.
    2. Pier Francesco Procacci & Tomaso Aste, 2019. "Forecasting market states," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1491-1498, September.
    3. Pier Francesco Procacci & Tomaso Aste, 2018. "Forecasting market states," Papers 1807.05836, arXiv.org, revised May 2019.
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    Cited by:

    1. Seabrook, Isobel & Caccioli, Fabio & Aste, Tomaso, 2022. "Quantifying impact and response in markets using information filtering networks," LSE Research Online Documents on Economics 115308, London School of Economics and Political Science, LSE Library.
    2. Fu Qiao & Yan Yan, 2020. "How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of China's stock market during the outbreak of COVID-19," Papers 2007.07487, arXiv.org.
    3. Isobel Seabrook & Fabio Caccioli & Tomaso Aste, 2021. "An Information Filtering approach to stress testing: an application to FTSE markets," Papers 2106.08778, arXiv.org.
    4. Muhammad Khalid Anser & Muhammad Azhar Khan & Khalid Zaman & Abdelmohsen A. Nassani & Sameh E. Askar & Muhammad Moinuddin Qazi Abro & Ahmad Kabbani, 2021. "Financial development during COVID-19 pandemic: the role of coronavirus testing and functional labs," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-13, December.

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