Amplification and asymmetry in crashes and frenzies

Amplification and asymmetry in crashes and frenzies

Taispeáin leaganacha eile (1)

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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoir:	Ozsoylev, H
Formáid:	Working paper
Foilsithe / Cruthaithe:	University of Oxford 2005

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