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 |
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