{"title":"不可预测的股市下跌","authors":"W. Ziemba","doi":"10.1080/21649502.2015.1165907","DOIUrl":null,"url":null,"abstract":"I have used four measures that have had considerable success using price movements or market indicators in predicting stock market declines of 10% or more and average 25%. Other declines of 5–15% seem to be hard to predict ex ante, while some can be explained ex post. In this paper, I focus on seven of the latter instances for the US S&P500.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"38 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Non-predictable stock market declines\",\"authors\":\"W. Ziemba\",\"doi\":\"10.1080/21649502.2015.1165907\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"I have used four measures that have had considerable success using price movements or market indicators in predicting stock market declines of 10% or more and average 25%. Other declines of 5–15% seem to be hard to predict ex ante, while some can be explained ex post. In this paper, I focus on seven of the latter instances for the US S&P500.\",\"PeriodicalId\":438897,\"journal\":{\"name\":\"Quantitative Finance Letters\",\"volume\":\"38 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/21649502.2015.1165907\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/21649502.2015.1165907","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
I have used four measures that have had considerable success using price movements or market indicators in predicting stock market declines of 10% or more and average 25%. Other declines of 5–15% seem to be hard to predict ex ante, while some can be explained ex post. In this paper, I focus on seven of the latter instances for the US S&P500.
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