Market structure dynamics during COVID-19 outbreak
Statistical Finance
2020-03-25 v1 Statistical Mechanics
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.
Cite
@article{arxiv.2003.10922,
title = {Market structure dynamics during COVID-19 outbreak},
author = {Pier Francesco Procacci and Carolyn E. Phelan and Tomaso Aste},
journal= {arXiv preprint arXiv:2003.10922},
year = {2020}
}
Comments
1 page, figures