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. positive) returns so as to capture the risks to which...

We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on past price levels and the "probability...

This introductory article presents the special Discussion and Debate volume 'From black swans to dragon-kings, is there life beyond power laws?'. We summarize and put in perspective the contributions into three main themes: (i) mechanisms for dragon-kings, (ii) detection of dragon-kings and...