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Empirical Regularities in Stock Market Crashes (view source)
Revision as of 14:39, 2 September 2020
, 14:39, 2 September 2020no edit summary
|Has paper status=Working paper
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This paper develops results discovered in my analysis of the [[2020 Stock Market Crash]], which spawned a series of Op. Ed. submissions. A version is Version 1.3 was posted on SSRN: (https://ssrn.com/abstract=3679630) on September 2, 2020. The first posted version was 1.2, which was posted on August 23, 2020.
<pdf>File:StockMarketAnalysisV1-3-SSRN.pdf</pdf>
==Abstract==
From version 1.23:
I define a stock market crash as the period from an index's prior peak until its recovery. Then measures of its scale are very highly correlated. These correlations suggest that crashes belong to well-defined categories and become increasingly predictable as they progress. Furthermore, being in a crash is then the default state of U.S. stock markets.
