摘要翻译：
本文研究了金融市场在危机期间的形态明显不同于随机游动过程的一般直觉。从这个意义上说，它挑战了法马及其同伙提出的对金融市场本质的分析。为此，提出了一种几何方法来定义市场的变化模式，并使用多元峰度度量来检验对多项式的偏离。危机的出现可以在这一框架内加以衡量，使用有关所考虑的股票回报的所有现有信息，而不仅仅是代表市场的指数。
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英文标题：
《How Fama Went Wrong: Measures of Multivariate Kurtosis for the
  Identification of the Dynamics of a N-Dimensional Market》
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作者：
Tanya Ara\'ujo, Jo\~ao Dias, Samuel Eleut\'erio and Francisco
  Lou\c{c}\~a
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  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 sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only the index representing the market.
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PDF链接：
https://arxiv.org/pdf/1207.1202