Year
2001
Abstract
“Stock market crashes” : a magic expression, which will definitely attract the attention of every financial investor. This article is the follow-up of an article published in Derivatives Use Trading & Regulation whose objective was to present extreme value theory. It is now shown how this statistical theory can be used to obtain some quantitative results about such extreme price movements. More precisely, the probability of an extreme price movement and its waiting time period are estimated. The article then focuses on extreme price movement associated with stock market crashes.
LONGIN, F. (2001). Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory. Journal of Derivatives and Hedge Funds, pp. 197-205.