论投机泡沫期间的最大跌幅
On the maximum drawdown during speculative bubbles
摘要：
在文献中提出的大型金融崩溃的分类定位的投机泡沫的破裂，由于极端的股票市场崩溃的框架内的内生原因，定义为市场价格的下跌，是离群值相对于大部分的下跌价格运动分布。本文继续深入分析，通过检查指数价格的下跌和最大下跌运动，进一步描述了这些选定泡沫的上升部分。本文还分析了风险度量的核心-资金回笼时间。
英文摘要：
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part of such selected bubbles through the examination of drawdown and maximum drawdown movement of indices prices. The analysis of drawdown duration is also performed and it is the core of the risk measure estimated here.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
