Year

Abnormality

Year

Abnormality

Year

Abnormality

1929-35

Dow: from 11 to 13σ

1987

Dow: 22σ

1987

French CAC-40: kurtosis 4.6

1987

S&P 500: kurtosis 7.2 (round.)

1987

Nasdaq index: kurtosis 5.8 (round.)

1885-2015 (http://schert.simon.Rochester.edu/Volatility.htm)

In 1894: 14% higher σ; in 1929-34: 26%; 25% in 1987; 24% in 2008

2002

Dollar: from 5.1 to 7.9 to 10.7σ (round.)

1970-2001

S&P 500: kurtosis 43.4 (round.)

1964 Fama E (doctoral thesis)

USA blue-chip stocks in Dow > 5σ

2001 (*), (1609-2000)

Sterling/Guilder parity; higher mean & fat tails

2002

$/Yen ~3.8% increase in 12 months

Shipping standard deviation 2008

σ > 6.5

Shipping σ (**)

06/10/2003 4.5

05/07/2004 3.5

17/05/2004 3.4

15/08/2005 3.5

29/09/2008 10.2

Shipping σ (***)

1974 4σ (period charters)

1974 6σ time charters