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Khóa luận tiếng anh: Extreme Value Theory and Applications in Financial Market Extreme Value Theory Introduction Block Maxima Method Peaks over threshold method 2 Applications in Financial Markets Block Maxima Method Peaks over threshold method
Extreme Value Theory Applications in Financial Markets Extreme Value Theory and Applications in Financial Market Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc K53 Undergraduate Program in Mathematics University of Science Vietnam National University 8 th December, 2012 Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets 1 Extreme Value Theory Introduction Block Maxima Method Peaks- over- threshold method 2 Applications in Financial Markets Block Maxima Method Peaks- over- threshold method Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Extreme Value Theory studies extremal deviation from the median of probability distribution. Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Extreme Value Theory studies extremal deviation from the median of probability distribution. Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Extreme Value Theory studies extremal deviation from the median of probability distribution. It seeks for events that rarely happen but when happening, they have very important effects such as floods, earthquakes, market crashes, etc. Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Extreme Value Theory studies extremal deviation from the median of probability distribution. It seeks for events that rarely happen but when happening, they have very important effects such as floods, earthquakes, market crashes, etc. Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Extreme Value Theory studies extremal deviation from the median of probability distribution. It seeks for events that rarely happen but when happening, they have very important effects such as floods, earthquakes, market crashes, etc. Basically, there are two methods for identifying extremes in real data. Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Extreme Value Theory studies extremal deviation from the median of probability distribution. It seeks for events that rarely happen but when happening, they have very important effects such as floods, earthquakes, market crashes, etc. Basically, there are two methods for identifying extremes in real data. Dao Minh Phuong Thesis Advisor: Dr. Luu Hoang Duc Extreme Value Theory and Applications in Financial Market [...]... Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Generalized Extreme Value Distribution The Generalized Extreme Value Distribution (GEV) is given as: Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets... Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Peaks- over- threshold method Set a threshold and then collect the exceedances over a threshold Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications. .. there are two methods for identifying extremes in real data 1 block maxima method Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory What is Extreme Value Theory? Extreme Value Theory studies extremal deviation... Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Example Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Introduction Block Maxima Method Peaks- over- threshold method Extreme Value Theory Applications in Financial Markets Example 1 ´ Frechet... Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Generalized Extreme Value Distribution The Generalized Extreme Value Distribution (GEV) is given as: Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications. .. method Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Block Maxima Method This method consists of dividing the series into non-overlapping blocks of same length and then choosing the maximum from every block Dao Minh Phuong... Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Block Maxima Method This method consists of dividing the series into non-overlapping blocks of same length and then choosing the maximum from every block Limiting behavior of sample extrema Let X1 , X2 , , be iid random... worst-case loss in a sample of n losses Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Block Maxima Method This method consists of dividing the series into non-overlapping blocks of same length and then choosing the maximum... bn )/an converges in distribution, i.e: Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial Markets Introduction Block Maxima Method Peaks- over- threshold method Block Maxima Method This method consists of dividing the series into non-overlapping blocks of same length and then choosing the maximum from... Generalized Extreme Value Distribution The Generalized Extreme Value Distribution (GEV) is given as: Hξ (x) = exp(−(1 + ξx)−1/ξ ), ξ = 0 exp(−e−x ), ξ = 0 (2) with x such that 1 + ξx > 0 and ξ is the shape parameter This parametrization is continuous in ξ where : Dao Minh Phuong Thesis Advisor: Dr Luu Hoang Duc Extreme Value Theory and Applications in Financial Market Extreme Value Theory Applications in Financial