The magnitude of a market crash can be predicted
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Could the magnitude of the stock market crash of 19.10.1987 be predicted on the base of the data available on the eve of “the black Monday”? How far can the financial market fall, say, once in 40 years? We demonstrate that modern methods of Extreme Value Theory can help in answering these questions.
|Research Areas:||A. > School of Science and Technology > Design Engineering and Mathematics|
|Depositing User:||Repository team|
|Date Deposited:||28 Nov 2008 14:24|
|Last Modified:||27 Jan 2016 11:54|
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