dorsal/arxiv
View SchemaOn the maximum drawdown during speculative bubbles
| Authors | Giulia Rotundo, Mauro Navarra |
|---|---|
| Categories | |
| ArXiv ID | physics/0607250 |
| URL | https://arxiv.org/abs/physics/0607250 |
| DOI | 10.1016/j.physa.2007.02.021 |
Abstract
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.
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"abstract": "A taxonomy of large financial crashes proposed in the literature locates the\nburst of speculative bubbles due to endogenous causes in the framework of\nextreme stock market crashes, defined as falls of market prices that are\noutlier with respect to the bulk of drawdown price movement distribution. This\npaper goes on deeper in the analysis providing a further characterization of\nthe rising part of such selected bubbles through the examination of drawdown\nand maximum drawdown movement of indices prices. The analysis of drawdown\nduration is also performed and it is the core of the risk measure estimated\nhere.",
"arxiv_id": "physics/0607250",
"authors": [
"Giulia Rotundo",
"Mauro Navarra"
],
"categories": [
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.02.021",
"title": "On the maximum drawdown during speculative bubbles",
"url": "https://arxiv.org/abs/physics/0607250"
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