Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "2518"
  #_source: array:26 [
    "id" => "2518"
    "slug" => "stock-market-crashes-some-quantitative-results-based-on-extreme-value-theory"
    "yearMonth" => "2001-01"
    "year" => "2001"
    "title" => "Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory"
    "description" => "LONGIN, F. (2001). Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory. <i>Journal of Derivatives and Hedge Funds</i>, pp. 197-205."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "197-205"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "."Krack boursier " : une expression magique qui attirera toujours l'attention des investisseurs. Cet article fait suite à un article déjà publié dans la revue Derivatives Use Trading & Regulation dont l'objectif était de présenter la théorie des valeurs extrêmes. Il est maintenant montré comment cette théorie statistique peut être utilisée pour obtenir des résultats quantitatifs sur les mouvements extrêmes de prix sur les marchés financiers. Plus précisément, la probabilité d'un mouvement extrême de prix et la période de retour d'un tel mouvement sont estimées. Cet article s'intéresse ensuite aux mouvements extrêmes de prix associés avec les krack boursiers."
      "en" => ""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."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-21T08:21:48.000Z"
    "docTitle" => "Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory"
    "docSurtitle" => "Articles"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>"
    "docDescription" => "<span class="document-property-authors">LONGIN François</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2001</span>"
    "keywordList" => ""
    "docPreview" => "<b>Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory</b><br><span>2001-01 | Articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.194345
  +"parent": null
}