The Clustering of Extreme Movements: Stock Prices and the Weather
Atanu Saha, Burton G. Malkiel and Alex Grecu One striking feature of the United States stock market is the tendency of days with very large movements of stock prices to be clustered together. We define an extreme movement in stock prices as one that can be characterized as a three sigma event; that is, a
As a library member, you must login and access JOIM through your library workstations. Please contact your librarian for assistance.
If you have any further questions or concerns, please email customerservice@joim.com