SETTING NYSE CIRCUIT-BREAKER TRIGGERS

Authors
BOOTH GG BROUSSARD JP
Citation
Gg. Booth et Jp. Broussard, SETTING NYSE CIRCUIT-BREAKER TRIGGERS, Journal of financial services research, 13(3), 1998, pp. 187-204
Citations number
43
Categorie Soggetti
Business Finance
Journal title
Journal of financial services research → ACNP
ISSN journal
09208550
Volume
13
Issue
3
Year of publication
1998
Pages
187 - 204
Database
ISI
SICI code
0920-8550(1998)13:3<187:SNCT>2.0.ZU;2-R
Abstract
This paper investigates the stochastic behavior of large movements in the Dow Jones Industrial Average and applies the results to estimate t he probability that the circuit breaker mechanism employed by the New York Stock Exchange will be activated. This is accomplished using extr eme value statistics. In addition, the results confirm the inflexibili ty of a fixed-point circuit breaker.