Extreme Events in Finance

03/09/2020

More on my paper with Konstantinos Gkillas "Is bitcoin the new digital gold? Evidence from extreme price movements in financial markets" available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3245571

Les cours de la valeur refuge ont explosé en août, malgré une forte baisse de la demande. L'or pulvérise les records : la valeur refuge par excellence a dépassé début août son plus haut prix historique de septembre 2011, en franchissant la barre symbolique des 2 000 dollars l'once

16/01/2020

When an academic paper creates a controversy...

Bitcoin, similar to gold, is a good hedge against global uncertainties like trade wars.

20/11/2018

Has Gold gone out of fashion? Is Bitcoin becoming the new digital gold that could be useful in times of turbulence?

01/06/2018

Mathematics for Industry: Blockchain & Cryptocurrencies Conference held in the School of Mathematics at the University of Manchester (UK) on September 8, 2018.

26/01/2018

L’ESSEC Business School vous invite à suivre ses nouvelles vidéos d’experts ESSEC Knowledge Live. L’objectif ? Vous permettre de comprendre et de décrypter l...

26/01/2018

Learn about extreme operational events by Maxime Laot (European Central Bank). Losses from operational risk may be bigger than those from market risk.

18/12/2017

Some advertising for Extreme Value Theory and its applications in finance (in French)

VIDEO Les événements extrêmes en finance sont caractérisés par de très fortes variations des prix sur les marchés financiers. Ces krachs boursiers se produisent toujours sur des périodes très courtes, une journée voire même quelques minutes avec les flash crashs. Mais alors pourquoi s’i...

12/09/2017

Introducing the asymmetric time-exceedance model with optimal threshold This post presents a recent paper by Gkillas, Longin and Tsagkanos (2017). This paper introduces a new model with asymmetric time-exceedance of extreme shocks defined with optimal threshold derived from extreme value … Continue…

12/09/2017

Journal of Risk and Financial Management, an international, peer-reviewed Open Access journal.

15/04/2017

Very useful resources for studying extreme events

Statistical tool for extreme value analysis from R, Python and Matlab - A selection by Stephen Chan (University of Manchester). More in Wiley handbook

20/03/2017

Contribution "On the discrepancy between markets and corporations" by Lauent Bibard (ESSEC) in Wiley handbook "Extreme Events in Finance" edited by Prof. Longin https://extreme-events-finance.net/

13/02/2017

Contribution "EVT seen by a Vet: a practitioner’s experience of extreme value theory" by Jean-François Boulier in Wiley handbook "Extreme Events in Finance" edited by Prof. Longin https://extreme-events-finance.net/