Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdowns
Author
Abstract
Suggested Citation
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Safari, Muhammad Aslam Mohd & Masseran, Nurulkamal & Ibrahim, Kamarulzaman & AL-Dhurafi, Nasr Ahmed, 2020. "The power-law distribution for the income of poor households," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
- Thangavel, Bhagyaraj & Srinivasan, Sabarathinam & Kathamuthu, Thamilmaran, 2021. "Extreme events in a forced BVP oscillator: Experimental and numerical studies," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
- Fruehwirt, Wolfgang & Hochfilzer, Leonhard & Weydemann, Leonard & Roberts, Stephen, 2021. "Cumulation, crash, coherency: A cryptocurrency bubble wavelet analysis," Finance Research Letters, Elsevier, vol. 40(C).
- Takumi Sueshige & Didier Sornette & Hideki Takayasu & Misako Takayasu, 2019. "Classification of position management strategies at the order-book level and their influences on future market-price formation," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-19, August.
- Safari, Muhammad Aslam Mohd & Masseran, Nurulkamal & Ibrahim, Kamarulzaman, 2018. "Optimal threshold for Pareto tail modelling in the presence of outliers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 169-180.
- Grobys, Klaus, 2023. "A finite-time singularity in the dynamics of the US equity market: Will the US equity market eventually collapse?," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Junqing Tang & Hans R. Heinimann, 2019. "Quantitative evaluation of consecutive resilience cycles in stock market performance: A systems-oriented approach," Papers 1903.03201, arXiv.org.
- Safari, Muhammad Aslam Mohd & Masseran, Nurulkamal & Ibrahim, Kamarulzaman & Hussain, Saiful Izzuan, 2019. "A robust and efficient estimator for the tail index of inverse Pareto distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 431-439.
More about this item
Keywords
Extreme events; drawdowns; power law distribution; tail dependence; Dragon-King events; financial markets; high-frequency data;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G01 - Financial Economics - - General - - - Financial Crises
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp1448. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.