Drawdowns (loss fromthe last local maximum to the next local minimum)
o er a more natural measure of the financial market dynamics than
fixed time-scale measures. We study the presence of Dragon Kings
corresponding to meaningful outliers in the distribution of drawdowns
at di erent time scales - from 1-min to daily. Our analysis comprises
nine time series of prices of futures tracking major stock indexes (S&P,
FT-SE, Nikkei), currencies (Yen, DM) and government bonds (Japan, US,
Germany).
We find no empirical evidence of the presence of Dragon-Kings for
high frequency data, 1-min resolution. Nevertheless, for the largest
scales, namely daily, the statistical tests applied demonstrate that the
1% quantile of the largest events of the population of drawdowns belong
to a distribution significantly di erent from the rest. For the other scales,
the test results are inconclusive. This results suggest that the feedback
mechanisms present in the Dragon-Kings require a certain time to buildup.
Projecte final de carerra realitzat en col.laboració amb ETH Zurich
