Amplification and asymmetry in crashes and frenzies

Amplification and asymmetry in crashes and frenzies

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We often observe disproportionate reactions to tangible information in large stock price movements. Moreover these movements feature an asymmetry: the number of crashes is more than that of frenzies in the S&P 500 index. This paper offers an explanation for these two characteristics of large...

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Manylion Llyfryddiaeth
Prif Awdur:	Ozsoylev, H
Fformat:	Working paper
Cyhoeddwyd:	University of Oxford 2005

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