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Title: On the maximum drawdown during speculative bubbles
Authors: Navarra, Mauro
Rotundo, Giulia
Keywords: Risk measure; Drawdown; Speculative bubbles
Issue Date: 2007
Publisher: Physica A
Source: M. Navarra, G. Rotundo, “On the maximum drawdown during speculative bubbles”, Physica A (ISSN: 0378-4371) 382 1 (2007) 235-246.
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.
ISSN: 0378-4371
Appears in Collections:DEIM - Archivio della produzione scientifica

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