Characterization of large price variations in financial markets

DOI10.1016/S0378-4371(02)01843-5zbMath1072.91559arXivcond-mat/0210574MaRDI QIDQ1873951

Anders Johansen

Publication date: 21 May 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0210574

zbMATH Keywords

drawdown statistics

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Level crossing analysis of the stock markets ⋮ Stochastic modeling and fair valuation of drawdown insurance ⋮ Boolean network representation of contagion dynamics during a financial crisis ⋮ Discrete scale-invariance in cross-correlations between time series ⋮ Detecting log-periodicity in a regime-switching model of stock returns ⋮ Renewal theorems and stability for the reflected process

Cites Work

• CRASHES AS CRITICAL POINTS
• Significance of log-periodic precursors to financial crashes

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