This paper investigates the dynamics of stocks in the S&P 500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose that is a robust index of the dynamics of the market structure and provides information on the intensity and the sectoral impact of crises. With this measure, we analyse the effects of extreme phenomena on the geometry of the market. Nine crashes between 1987 and 2001 are compared by looking at the way they modify the shape of the manifold that describes the S&P 500 market space.Agent-based modelling, Applied finance, Artificial economy, Complexity in economics, Complexity in finance, Computational finance, Economic modelling, Evolutionary model of currency crisis,

This book is about fundamental economic theory, but it maintains that economics is meaningless outside the framework of history. It therefore analyses the evolution of some leading economies since the Industrial Revolution. It opens with a critical discussion of some earlier attempts to expound a theory of history, notably, the so‐called ‘new economic history’ or ‘cliometrics’ and then the ideas of two outstanding social scientists—Kondratiev and Schumpeter. They were both concerned with major qualitative as well as quantitative changes in evolving economic systems, with the explanation of such revolutionary transformations and with their periodization. Our book too is concerned with exploring these problems, but it offers deep criticism both of Kondratiev's ‘long wave’ theory and of Schumpeter's attempt to reconcile this theory with the equilibrium models of Walras. Like Keynes, we emphasize some of the limitations of purely econometric models and insist on the great importance of ‘semi‐autonomous’ institutions and subsystems of society, which influence the economy and are influenced by it in a process of mutual interaction and adjustment. Although in recent times the technology subsystem has been extremely dynamic and influential in the evolution of the economy, it is essential to consider also the political, cultural, and science subsystems, all of which have a vital role in achieving that degree of congruence in the social system necessary for successful economic growth. This approach is illustrated in those chapters of the book that are devoted to a historical account of five successive technological revolutions, i.e. water‐powered mechanization, steam‐powered mechanization, electrification, motorization, and computerization. Statistical evidence of the great significance of these technological revolutions for structural change in the economy is found in the changing composition of the leading cohort of the hundred largest firms. Evidence of the social conflicts and tensions engendered by each structural crisis of adjustment is found in the statistics of days lost in strikes, as well as in political conflicts over the regulatory regime and in international markets.

This paper investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the population of all companies present in the index for the whole period. Using a stochastic geometry technique and defining a robust index of the dynamics of the market structure, which is able to provide information about the intensity of the crises, the paper proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to investigate and to classify the impact of the twelve crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de sicle.

The available statistics show that there was a sharp acceleration of the growth of British industrial output, investment, and trade in the last few decades of the eighteenth century, justifying the general use of the expression 'Industrial Revolution' and refuting the efforts of a few historians to deny its very occurrence. In particular, the extraordinarily rapid growth of output and exports of the cotton industry was widely remarked upon both at the time and ever since, and was generally and plausibly attributed to a series of inventions and innovations, which increased productivity per hour of work by more than an order of magnitude and made possible rapidly descending costs and prices.

Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related to the number of terms in factor models. Example were worked out involving sets of companies from the DJIA and S&P500 indexes.Having a metric defined in the space of companies, network topology coefficients may be used to extract further information from the data. A notion of "continuous clustering" is defined and empirically related to the occurrence of market shocks.