This paper presents a brief analysis on the distribution of magnitude of major stock market shocks. Based on the Gutenberg–Richter law in geophysics, we model the dynamics of market index returns prior and after major crashes in search of statistical regularities. For a large number of market...

We investigate the dynamics of the exchange rate market just after and prior to the 1997 crisis. The return of the exchange rate is well characterized by a power law, with the relaxation exponent to vary significantly across countries.