Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6845825
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Magnitude and speed of consecutive market crashes in a diffusion model |
scientific article; zbMATH DE number 6845825 |
Statements
Magnitude and speed of consecutive market crashes in a diffusion model (English)
0 references
1 March 2018
0 references
time-homogeneous diffusion
0 references
generalized drawdown process
0 references
drawdown
0 references
Laplace transform
0 references
Doob-Meyer decomposition
0 references
0 references
0 references
0.8777082562446594
0 references
0.7525673508644104
0 references
0.7429702877998352
0 references
0.7362204790115356
0 references
0.7271398305892944
0 references
