There exists a well-developed statistical theory predicting extreme price values for financial markets known as extreme value theory (EVT). This approach relies on the seemingly obvious, but rarely analyzed, assumption that price displacement extremes actually exist for various markets. This...

Describes the behavior of financial markets as functions of the variables 'price return' and 'time' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly...