{"id":156,"date":"2009-10-13T17:28:41","date_gmt":"2009-10-13T17:28:41","guid":{"rendered":"http:\/\/www.complejidadsocial.udd.cl\/?p=156"},"modified":"2009-10-13T17:28:41","modified_gmt":"2009-10-13T17:28:41","slug":"universal-behavior-of-extreme-price-movements-in-stock-markets","status":"publish","type":"post","link":"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/","title":{"rendered":"Universal Behavior of Extreme Price Movements in Stock Markets"},"content":{"rendered":"<p>Miguel A. Fuentes, Austin Gerig and Javier Vicente. PLoS ONE, 4, 12, e8243, 2009.<\/p>\n<p><strong>ABSTRACT<\/strong><\/p>\n<p>Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model\u2014adding a slow, but significant, fluctuation to the standard deviation of the process\u2014accurately explains the probability of different-sized price changes, including the relative high frequency of extreme movements. Furthermore, we show that this process is similar across stocks so that their price fluctuations can be characterized by a single curve. Because the behavior of price fluctuations is rooted in the characteristics of volatility, we expect our results to bring increased interest to stochastic volatility models, and especially to those that can produce the properties of volatility reported here.<\/p>\n<p><a href=\"https:\/\/gobierno.udd.cl\/cics\/files\/2012\/05\/2009_UniversalBehavior.pdf\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-85\" title=\"PDF\" src=\"https:\/\/gobierno.udd.cl\/cics\/files\/2012\/07\/pdf-cics.jpg\" alt=\"\" width=\"40\" height=\"40\" \/><\/a><\/p>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Miguel Angel Fuentes, Austin Gerig and Javier Vicente. PLoS ONE, 4, 12, e8243.<\/p>\n","protected":false},"author":9192217,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[9,5],"tags":[],"class_list":["post-156","post","type-post","status-publish","format-standard","hentry","category-papers","category-publications"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v26.9 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Universal Behavior of Extreme Price Movements in Stock Markets - Centro de Investigaci\u00f3n en Complejidad Social<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Universal Behavior of Extreme Price Movements in Stock Markets - Centro de Investigaci\u00f3n en Complejidad Social\" \/>\n<meta property=\"og:description\" content=\"Miguel Angel Fuentes, Austin Gerig and Javier Vicente. PLoS ONE, 4, 12, e8243.\" \/>\n<meta property=\"og:url\" content=\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/\" \/>\n<meta property=\"og:site_name\" content=\"Centro de Investigaci\u00f3n en Complejidad Social\" \/>\n<meta property=\"article:published_time\" content=\"2009-10-13T17:28:41+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/gobierno.udd.cl\/cics\/files\/2012\/07\/pdf-cics.jpg\" \/>\n<meta name=\"author\" content=\"jhc\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"jhc\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/#article\",\"isPartOf\":{\"@id\":\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/\"},\"author\":{\"name\":\"jhc\",\"@id\":\"https:\/\/gobierno.udd.cl\/cics\/#\/schema\/person\/5b76ef104bf8776a2926aa964b447806\"},\"headline\":\"Universal Behavior of Extreme Price Movements in Stock Markets\",\"datePublished\":\"2009-10-13T17:28:41+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/\"},\"wordCount\":166,\"commentCount\":0,\"image\":{\"@id\":\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/gobierno.udd.cl\/cics\/files\/2012\/07\/pdf-cics.jpg\",\"articleSection\":[\"PAPERS\",\"PUBLICATIONS\"],\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"CommentAction\",\"name\":\"Comment\",\"target\":[\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/#respond\"]}]},{\"@type\":\"WebPage\",\"@id\":\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/\",\"url\":\"https:\/\/gobierno.udd.cl\/cics\/2009\/10\/13\/universal-behavior-of-extreme-price-movements-in-stock-markets\/\",\"name\":\"Universal Behavior of Extreme Price Movements in Stock Markets - 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