Stock market crashes are outliers
arXiv:cond-mat/9712005 · doi:10.1007/s100510050163
Abstract
We call attention against what seems to a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial index that with high probability the three largest crashes in this century are outliers. This result supports suggestion that large crashes result from specific amplification processes that might lead to observable pre-cursory signatures.
8 pages, 3 figures (accepted in European Physical Journal B)