Drawdowns preceding rallies in the Brownian motion model

DOI10.1080/14697680600764227zbMath1134.91420OpenAlexW1973164504MaRDI QIDQ3437396

Olympia Hadjiliadis, Jan Večeř

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600764227

zbMATH Keywords

Brownian motion modeldrawdownsrallies

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cites Work

• A stopped Brownian motion formula
• Formulas for stopped diffusion processes with stopping times based on the maximum
• A note on Ritov's Bayes approach to the minimax property of the cusum procedure
• Optimality of the CUSUM procedure in continuous time.
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• On the maximum drawdown of a Brownian motion
• CONTINUOUS INSPECTION SCHEMES

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