IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-030-78965-7_52.html
   My bibliography  Save this book chapter

Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Jesus-Enrique Molina

    (Universidad del Rosario, School of Management)

  • Andres Mora-Valencia

    (Universidad del Rosario, School of Management)

  • Javier Perote

    (University of Salamanca (IME), Campus Miguel de Unamuno (Edif. F.E.S.))

Abstract

This manuscript proposes a market crash forecasting methodology based on the analysis of the shape parameter of the alpha-stable distribution. Moreover, the parameters of Pareto type II distribution are also employed for comparison purposes. The model performance is assessed by Quadratic Probability Score, Logarithmic Probability Score, and Directional Accuracy measures. Our applications for developed and emerging markets show a good accuracy for alpha-stable distribution and replicability of the results. Thus, our model is an adequate early warning system for future crashes.

Suggested Citation

  • Jesus-Enrique Molina & Andres Mora-Valencia & Javier Perote, 2021. "Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 355-360, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_52
    DOI: 10.1007/978-3-030-78965-7_52
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-030-78965-7_52. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.