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

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  • Joaqu'in S'anchez Garc'ia
  • Sebastian Gherghe

Abstract

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.

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  • Joaqu'in S'anchez Garc'ia & Sebastian Gherghe, 2024. "On the Ollivier-Ricci curvature as fragility indicator of the stock markets," Papers 2405.07134, arXiv.org.
    • Handle: RePEc:arx:papers:2405.07134
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    References listed on IDEAS

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    1. Tse, Chi K. & Liu, Jing & Lau, Francis C.M., 2010. "A network perspective of the stock market," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 659-667, September.
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