Endogenous versus Exogenous Crashes in Financial Markets

Preprint English OPEN
Johansen, A.; Sornette, D.; (2002)
  • Subject: Condensed Matter - Statistical Mechanics | Quantitative Finance - Statistical Finance

We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the gold market, by introducing the ... View more
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