Stock market crashes are outliers

A. Johansen and D. Sornette

Papers from arXiv.org

Abstract: We call attention against what seems to a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial index that with high probability the three largest crashes in this century are outliers. This result supports suggestion that large crashes result from specific amplification processes that might lead to observable pre-cursory signatures.

Date: 1997-11, Revised 1997-12
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Published in European Physical Journal B 1, 141-143 (1998)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/9712005

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