Universal behavior of extreme price movements in stock markets.
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock marke...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2009-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC2793428?pdf=render |