Add to ORKGA 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
This paper proposes a new model for capturing discontinuities in the underlying financial environmen...
Episodes of market crashes have fascinated economists for centuries. Although many academics, practi...
We develop a rational expectations model of financial bubbles and study ways in which a generic risk...
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bu...
Risk exposure in financial markets has been described through several measures (VaR, CVaR, etc.) bas...
Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an import...
In a series of papers based on analogies with statistical physics models, we have proposed that most...
Financial series may possess fractal dimensions which would induce cycles of many different duration...
This paper proposes a new model for capturing discontinuities in the underlying financial environment...
As the stock market came to the attention of increasing numbers of physicists, an idea that has rece...
It is common knowledge that the more prices deviate from fundamentals, the more likely it is for pri...
We examine whether a three-regime model that allows for dormant, explosive and collapsing speculativ...
In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous ...
Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm...
This paper examines bubbles on the JSE All Share Index as well as the critical time of the stock mar...
This paper proposes a new model for capturing discontinuities in the underlying financial environmen...
Episodes of market crashes have fascinated economists for centuries. Although many academics, practi...
We develop a rational expectations model of financial bubbles and study ways in which a generic risk...
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bu...
Risk exposure in financial markets has been described through several measures (VaR, CVaR, etc.) bas...
Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an import...
In a series of papers based on analogies with statistical physics models, we have proposed that most...
Financial series may possess fractal dimensions which would induce cycles of many different duration...
This paper proposes a new model for capturing discontinuities in the underlying financial environment...
As the stock market came to the attention of increasing numbers of physicists, an idea that has rece...
It is common knowledge that the more prices deviate from fundamentals, the more likely it is for pri...
We examine whether a three-regime model that allows for dormant, explosive and collapsing speculativ...
In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous ...
Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm...
This paper examines bubbles on the JSE All Share Index as well as the critical time of the stock mar...
This paper proposes a new model for capturing discontinuities in the underlying financial environmen...
Episodes of market crashes have fascinated economists for centuries. Although many academics, practi...
We develop a rational expectations model of financial bubbles and study ways in which a generic risk...