Amplification and asymmetry in crashes and frenzies
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...
| Autore principale: | |
|---|---|
| Natura: | Working paper |
| Pubblicazione: |
University of Oxford
2005
|