From the Geometry of Extreme Value Distributions to Improved Tail Fitting in Market Data

Time: 1.00 - 2.00pm Venue: Room 3.21, Old Building
Speaker: William F. Shadwick (Omega Analysis Limited), joint work with Ana Cascon and William H. Shadwick
Seminar Title: From the Geometry of Extreme Value Distributions to Improved Tail Fitting in Market Data
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Abstract:
A new geometric invariant explains and unifies the landmark results of Extreme Value Theory. This invariant also provides an intrinsic measure of the rate of convergence of tails of probability distributions to their Extreme Value limits.
Tail models that converge rapidly over quantile ranges that are practical in financial applications are highly efficient.
Some recent applications include ‘flash crashes’, multi-day drawdown risk in bank share prices and early warning signals of asset price bubbles as well as a measure of their severity.