On the maximum drawdown during speculative bubbles

Details On the maximum drawdown during speculative bubbles On the maximum drawdown during speculative bubbles

2006-07-27

arxiv.org/abs/physics/0607250v2

Physics

Data Analysis, Statistics and Probability

15 pages, 7 figures

Scientific paper

10.1016/j.physa.2007.02.021

A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part of such selected bubbles through the examination of drawdown and maximum drawdown movement of indices prices. The analysis of drawdown duration is also performed and it is the core of the risk measure estimated here.

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