An index of market shocks based on multiscale analysis

DOI10.1088/1469-7688/3/2/303MaRDI QIDQ4647246zbMATH OpenOpenAlexWikidataFDO

Authors Bertrand Maillet, Thierry Michel

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/3/2/303

zbMATH Keywords

financial crisesmarket shock index

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cites work

• ``Slimming of power-law tails by increasing market returns
• scientific article; zbMATH DE number 3936720 (Why is no real title available?)
• MEASURING SHOCK IN FINANCIAL MARKETS
• Multifractal analysis of Hang Seng index in Hong Kong stock market
• Temporal Aggregation of Garch Processes
• Volatility clustering in financial markets: empirical facts and agent-based models

Cited in

(9)

• Diagnosing shocks in stock markets of Southeast-Asia, Australia, and New Zealand
• A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
• Gutenberg-Richter law for Internetquakes
• Stock market scale by artificial insymmetrized patterns
• Spectral patterns of the IBEX 35 in an international context
• The scale of market quakes
• The geometry of crashes. A measure of the dynamics of stock market crises
• MEASURING SHOCK IN FINANCIAL MARKETS
• The seismography of crashes in financial markets

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Uses Software

• QSIMVN

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