Time series from Warsaw Stock Market have been investigated. We have found that the distribution of maximal values of returns for WIG-20 index is close to Gumbel distribution in its central part. For larger returns the observed data follow a fat tail while for small values the Gumbel distribution overestimates the observed maximal returns. We have studied also the effect of finite observation time on the distribution of maximal ranges in the model of a random walker.

1. POSTER: Observations of extreme events at Warsaw Stock Market, PDF document, version 1.4, 0.8MB

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