dc.contributor |
Sornette, Didier, 1957- |
dc.contributor.author |
Meseguer Florit, Xavier |
dc.date |
2010-01-27 |
dc.identifier.uri |
http://hdl.handle.net/2099.1/10422 |
dc.language.iso |
eng |
dc.publisher |
Universitat Politècnica de Catalunya |
dc.rights |
Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights |
info:eu-repo/semantics/openAccess |
dc.rights |
http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject |
Àrees temàtiques de la UPC::Economia i organització d'empreses |
dc.subject |
Business enterprises -- Finance -- Computer programs |
dc.subject |
Empreses -- Finances -- Programes d'ordinador |
dc.title |
Dragon-Kings in financial data - study at different time scales - |
dc.type |
info:eu-repo/semantics/bachelorThesis |
dc.description.abstract |
Projecte final de carerra realitzat en col.laboració amb ETH Zurich |
dc.description.abstract |
Drawdowns (loss fromthe last local maximum to the next local minimum)
o er a more natural measure of the financial market dynamics than
fixed time-scale measures. We study the presence of Dragon Kings
corresponding to meaningful outliers in the distribution of drawdowns
at di erent time scales - from 1-min to daily. Our analysis comprises
nine time series of prices of futures tracking major stock indexes (S&P,
FT-SE, Nikkei), currencies (Yen, DM) and government bonds (Japan, US,
Germany).
We find no empirical evidence of the presence of Dragon-Kings for
high frequency data, 1-min resolution. Nevertheless, for the largest
scales, namely daily, the statistical tests applied demonstrate that the
1% quantile of the largest events of the population of drawdowns belong
to a distribution significantly di erent from the rest. For the other scales,
the test results are inconclusive. This results suggest that the feedback
mechanisms present in the Dragon-Kings require a certain time to buildup. |