This book owes its origin to my long fascination with the behavior of speculative prices, in general, and extreme market moves, in particular. My interest is driven by both intellectual curiosity about how news is incorporated into market prices and fascination with the potential for large gains or losses associated with trading around extreme market moves. This book is the culmination of many years of observing changes in financial market prices up close, as a trader, and at a distance, as a professor.

I was a doctoral student at the University of Chicago Graduate School of Business when the finance faculty included Fischer Black, Eugene Fama, Merton Miller, and Myron Scholes, among others; and the statistics faculty included Arnold Zellner—the ...

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