Filimonov, Vladimir; Sornette, Didier - 2014
We investigate the distributions of e-drawdowns and e-drawups of the most liquid futures financial contracts of the … world at time scales of 30 seconds. The e-drawdowns (resp. e-drawups) generalise the notion of runs of negative (resp … distribution of returns, we find that the distributions of e-drawdowns and e-drawups exhibit power law tails, albeit with exponents …