Dynamics of a financial market index after a crash

Details Dynamics of a financial market index after a crash Dynamics of a financial market index after a crash

2002-09-30

arxiv.org/abs/cond-mat/0209685v1

Physics

Condensed Matter

Statistical Mechanics

5 pages, 3 figures. Proceedings of the 8th conference "Computing in Economics and Finance"

Scientific paper

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. By performing numerical simulations and theoretical modelling, we show that the nonlinear behavior observed in real market crashes cannot be described by a GARCH(1,1) model. We also show that the time evolution of the Value at Risk observed just after a major crash is described by a power-law function lacking a typical scale.

Affiliated with

Also associated with

No associations

Rating

Dynamics of a financial market index after a crash does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Dynamics of a financial market index after a crash, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dynamics of a financial market index after a crash will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-693979