Timeclusterring of stock indicies big fall

Abstract

The paper estimates the recurrence rate of stock indicies SP100, CAC40, DAX, FTSE, AMEX, ATX, NASDAQ, BEL20. The introduced qunatitative measure of the recurrence rate underlies type I and type II errors. We show that more than three quarters of the indicies falls occur on average during the first quarter of the time between them. This result expands from sufficiently large falls, which are observed on average two times a year, over smaller falls, which occur approximately once 1.5-2 months.

Keywords

• interevent distribution
• errors of the first and second kind