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Large stock market price drawdowns are outliers
16 references·16 citing·37 second hopsampled
Large stock market price drawdowns are outliers (2001)Large stock market price drawdowns are ou…Predicting financial crashes using discrete scale invariance (1999)Predicting financial crashes …Stretched exponential distributions in nature and economy: “fat tails” with characteristic scales (1998)Stretched exponential distrib…Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management (1998)Pitfalls and Opportunities in…Inverse cubic law for the distribution of stock price variations (1998)Inverse cubic law for the dis…Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Fractals and Scaling in Finan…”Direct” causal cascade in the stock market (1998)”Direct” causal cascade in th…Modelling Extremal Events (1997)Modelling Extremal EventsDetecting long-run abnormal stock returns: The empirical power and specification of test statistics (1997)Detecting long-run abnormal s…Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws (1997)Convergent Multiplicative Pro…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The stable Paretian hypothesi…The econometrics of financial markets (1996)The econometrics of financial…Stylized Facts of Nominal Exchange Rate Returns (1994)Stylized Facts of Nominal Exc…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Kurtosis-based projection pursuit for outlier detection in financial time series (2019)Kurtosis-based projection pur…Dissection of Bitcoin’s multiscale bubble history from January 2012 to February 2018 (2019)Dissection of Bitcoin’s multi…Co-Citation Analysis and Burst Detection on Financial Bubbles with Scientometrics Approach (2019)Co-Citation Analysis and Burs…Financial Black Swans Driven by Ultrafast Machine Ecology (2012)Financial Black Swans Driven …How to grow a bubble: A model of myopic adapting agents (2011)How to grow a bubble: A model…Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis (2010)Financial Bubbles, Real Estat…Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis (2009)Financial Bubbles, Real Estat…Dragon-Kings, Black Swans and the Prediction of Crises (2009)Dragon-Kings, Black Swans and…A case study of speculative financial bubbles in the South African stock market 2003–2006 (2008)A case study of speculative f…Endogenous versus Exogenous Origins of Crises (2006)Endogenous versus Exogenous O…Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization (2006)Changes in the dynamic behavi…The Impact of the 9/11 Events on the American and French Stock Markets (2005)The Impact of the 9/11 Events…Predictability of large future changes in major financial indices (2005)Predictability of large futur…Inverse statistics in economics: the gain–loss asymmetry (2003)Inverse statistics in economi…Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000 (2003)Evidence of a worldwide stock…Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos (2002)Imitation and contrarian beha…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)Scaling of the distribution of fluctuations of financial market indices (1999)Statistical properties of the volatility of price fluctuations (1999)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)The Variation of Certain Speculative Prices (1963)Herd Behaviour, Bubbles and Crashes (1995)The variation of certain speculative prices (1997)Statistical properties of stock order books: empirical results and models (2002)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Asset Prices in an Exchange Economy (1978)Nonparametric exchange rate prediction? (1990)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)ARCH modeling in finance (1992)Physical approach to complex systems (2012)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Scaling of the distribution of price fluctuations of individual companies (1999)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Multifractal analysis of financial markets: a review (2019)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)CRASHES AS CRITICAL POINTS (2000)Burstiness and memory in complex systems (2008)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1997Detecting long-run abnormal stock returns: The empirical power and specification of test statistics2,690 cited
  • 1996The econometrics of financial markets886 cited
  • 1998Stretched exponential distributions in nature and economy: “fat tails” with characteristic scales836 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1998Inverse cubic law for the distribution of stock price variations590 cited
  • 1998Fractals and Scaling in Finance: Discontinuity, Concentration, Risk418 cited
  • 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited
  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited
  • 1999Predicting financial crashes using discrete scale invariance318 cited
  • 1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management277 cited
  • 1997Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws249 cited
  • 1998

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”Direct” causal cascade in the stock market
239 cited
  • 1994Stylized Facts of Nominal Exchange Rate Returns110 cited
  • Cited by

    • 2005Predictability of large future changes in major financial indices148 cited
    • 2009Dragon-Kings, Black Swans and the Prediction of Crises113 cited
    • 2011How to grow a bubble: A model of myopic adapting agents95 cited
    • 2008A case study of speculative financial bubbles in the South African stock market 2003–200688 cited
    • 2019Dissection of Bitcoin’s multiscale bubble history from January 2012 to February 201884 cited
    • 2012Financial Black Swans Driven by Ultrafast Machine Ecology80 cited
    • 2006Endogenous versus Exogenous Origins of Crises79 cited
    • 2010Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis75 cited
    • 2002Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos75 cited
    • 2003Evidence of a worldwide stock market log-periodic anti-bubble since mid-200074 cited
    • 2003Inverse statistics in economics: the gain–loss asymmetry73 cited
    • 2006Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization53 cited
    • 2005The Impact of the 9/11 Events on the American and French Stock Markets49 cited
    • 2009Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis45 cited
    • 2019Kurtosis-based projection pursuit for outlier detection in financial time series42 cited
    • 2019Co-Citation Analysis and Burst Detection on Financial Bubbles with Scientometrics Approach39 cited