On the maximum drawdown during speculative bubbles
| Autor: | Giulia Rotundo, Mauro Navarra |
|---|---|
| Rok vydání: | 2007 |
| Předmět: |
Statistics and Probability
Statistical Finance (q-fin.ST) Actuarial science Risk measure Drawdown FOS: Physical sciences Quantitative Finance - Statistical Finance Speculative bubbles Mathematical Physics Statistical and Nonlinear Physics Condensed Matter Physics FOS: Economics and business Physics - Data Analysis Statistics and Probability Outlier Market price Econometrics Economics Stock market Data Analysis Statistics and Probability (physics.data-an) |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 382:235-246 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/j.physa.2007.02.021 |
| Popis: | A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part of such selected bubbles through the examination of drawdown and maximum drawdown movement of indices prices. The analysis of drawdown duration is also performed and it is the core of the risk measure estimated here. 15 pages, 7 figures |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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