I'm looking for good papers and books covering extreme stock price movements and mathematical theories of stock market crashs.
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1$\begingroup$ A good start is the book by Taleb, "Black Swan". The guy has a fund that literally makes money out of those extreme events. $\endgroup$– phdstudentApr 23, 2018 at 8:44
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4$\begingroup$ @phdstudent: And he made even more money with talking about how ingenious he is... ;-) $\endgroup$– vonjdApr 23, 2018 at 16:39
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1$\begingroup$ @vonjd I totally agree :) $\endgroup$– phdstudentApr 23, 2018 at 16:39
2 Answers
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.
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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