Authors: Rachel Krupnek
Mentors: Jie Liu, Sazib Hasan, Vinodh Chellamuthu
Insitution: Utah Tech University
Many groups are interested in potential market indicators because more than 60% of adults in the United States have investments in the stock market. Extreme stock trading volumes can be an important indicator of unusual market events, including those that precede market crashes. Several studies utilized Extreme Value Theory (EVT) and the Generalized Pareto Distribution (GPD) to examine and model the behavior of these extreme volumes. In particular, various estimation techniques are explored within the GPD framework to best fit the stock trading volume data. The goal of this study is to utilize mathematical approaches in economics. Our results have implications in both mathematical and economic fields, providing benefits by enhancing our ability to analyze and prepare for extreme market occurrences.