Modern Time Analysis of Black Swans

21 October 2014, 19:26
TipMyPip
0
67

I decided to take the data analysis on Black Swan and Extreme Loss Modeling to the next level and examine the time distribution of extreme losses across the entire S&P 500 universe of traded stocks.

Previously, we were interested, first, in finding the maximum loss among all trading days for a given stock in a specified time interval (stock life-time on the trading floor),

Read More -> Sources.