13 citations · 39 across the 11 of their papers we have counts for
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q-fin.ST2018★ 4 cited
Reframing the S\&P500 Network of Stocks along the \nth{21} Century
Tanya Araújo, Maximilian Göbel
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence…
q-fin.ST2012★ 4 cited
How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market
Tanya Araújo, João Dias, Samuel Eleutério +1
This 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 sens…