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On the maximum drawdown during speculative bubbles

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Title: On the maximum drawdown during speculative bubbles
Authors: Rotundo, Giulia1,2 giulia.rotundo@uniroma1.it, Navarra, Mauro2 mauro.navarra@uniroma1.it
Source: Physica A. Aug2007, Vol. 382 Issue 1, p235-246. 12p.
Subjects: Physics, Corporate finance, Physical sciences, Finance
Abstract: Abstract: 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. [Copyright &y& Elsevier]
Copyright of Physica A is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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DbLabel: Engineering Source
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PubType: Academic Journal
PubTypeId: academicJournal
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  Data: Abstract: 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. [Copyright &y& Elsevier]
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  Data: <i>Copyright of Physica A is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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        Value: 10.1016/j.physa.2007.02.021
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      – Code: eng
        Text: English
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      – SubjectFull: Corporate finance
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      – TitleFull: On the maximum drawdown during speculative bubbles
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            NameFull: Rotundo, Giulia
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              Text: Aug2007
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