• Title of article

    On the maximum drawdown during speculative bubbles

  • Author/Authors

    Giulia Rotundo، نويسنده , , Mauro Navarra، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2007
  • Pages
    12
  • From page
    235
  • To page
    246
  • 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.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2007
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    871813