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ROSARIO NUNZIO MANTEGNA

Dynamics of a financial market index after a crash

  • Autori: Lillo, F.; Mantegna, R.
  • Anno di pubblicazione: 2004
  • Tipologia: Articolo in rivista (Articolo in rivista)

Abstract

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. By performing numerical simulations and theoretical modelling, we show that the non-linear behavior observed in real market crashes cannot be described by a GARCH(1,1) model. We also show that the time evolution of the Value at Risk observed just after a major crash is described by a power-law function lacking a typical scale.

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