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[cond-mat/] Large Stock Market Price Drawdowns Are Outliers

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Large Stock Market Price Drawdowns Are Outliers - Open Access Library

Drawdowns loss from the last local maximum why martingale does not work in binary options the next local minimum offer a more natural measure of real market risks than variance, value-at-risk VAR or other measures large stock market price drawdowns are outliers on fixed time scale distributions of returns.

Here we extend considerably our previous analysis of drawdowns by analyzing the major financial indexes, the major currencies, gold and the 20 largest US companies in terms of capitalization as well as nine other companies chosen at random.

This is confirmed by extensive testing on surrogate data. Very large drawdowns thus belong to a class of their own and call for a specific amplification mechanism.

Why Stock Markets Crash: Critical Events in Complex Financial Systems - Didier Sornette - Google Livres

Drawups gain from the last local minimum to the next local maximum exhibit similar behavior in only about half the markets examined. For assistance please contact our customer service team Phone: Risk Journals is a paid-for subscription service.

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Large Stock Market Price Drawdowns Are Outliers by Anders Johansen, Didier Sornette :: SSRN

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Journal of Risk ISSN: Volume 4, Number 2 Winter Pages: Large stock market price drawdowns are outliers Anders Johansen, Didier Sornette. About the editor Editorial board Call for papers Subscribe All issues. Start a Risk Journals Trial Risk Journals is a paid-for subscription service. Download free sample Alternatively, you can explore your options for subscribing to Risk Journals. Robust conditional variance estimation and value-at-risk.

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