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I'm looking for good papers and books covering extreme stock price movements and mathematical theories of stock market crashs.

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    $\begingroup$ A good start is the book by Taleb, "Black Swan". The guy has a fund that literally makes money out of those extreme events. $\endgroup$ – phdstudent Apr 23 '18 at 8:44
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    $\begingroup$ @phdstudent: And he made even more money with talking about how ingenious he is... ;-) $\endgroup$ – vonjd Apr 23 '18 at 16:39
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    $\begingroup$ @vonjd I totally agree :) $\endgroup$ – phdstudent Apr 23 '18 at 16:39
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There is a large literature on extreme value theory (EVT) and a sizable subset that concerns its applications in Finance and economics.

A well known reference in the literature is: Modelling extremal events (Read Taleb's review here)

I would suggest you start there to see if you find what you are looking for.

A good reference for 'pure' EVT is Resnick's Heavy Tail Phenomena.

Hope this helps.

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I would suggest having a look at the books and papers of Didier Sonette from ETH Zürich.

A good starting point is the research page of his institute.

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    $\begingroup$ Why the downvote??? $\endgroup$ – vonjd Apr 23 '18 at 19:01

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