Recommendations
- Magnitude and speed of consecutive market crashes in a diffusion model
- Market Crashes and Informational Avalanches
- Dynamic behaviors and measurements of financial market crash rate
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
- Market crashes, speculation and learning in financial markets
- Critical market crashes
- The market for crash risk
- Drawdown: from practice to theory and back again
Cites work
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 3638888 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1987559 (Why is no real title available?)
- scientific article; zbMATH DE number 2050986 (Why is no real title available?)
- scientific article; zbMATH DE number 3212213 (Why is no real title available?)
- A class of remarkable submartingales
- A stopped Brownian motion formula
- An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
- Drawdowns preceding rallies in the Brownian motion model
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
- Formulas for stopped diffusion processes with stopping times based on the maximum
- Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
- Mathematical methods for financial markets.
- Maximum drawdown insurance
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
- On maximum increase and decrease of Brownian motion
- On the maximum drawdown of a Brownian motion
- On the stochastic behaviour of optional processes up to random times
- Portfolio sensitivity to changes in the maximum and the maximum drawdown
- Range of Brownian motion with drift
- Semi-martingales et grossissement d'une filtration
Cited in
(24)- A general method for analysis and valuation of drawdown risk
- An econometric analysis of drawdown based measures
- On the last exit times for spectrally negative Lévy processes
- A semi-Markovian approach to drawdown-based measures
- Drawdown risk measures for asset portfolios with high frequency data
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
- Pricing American drawdown options under Markov models
- Characterization of large price variations in financial markets
- Optimal trading with a trailing stop
- Maximum drawdown insurance
- Stochastic modeling and fair valuation of drawdown insurance
- The market for crash risk
- Speed and duration of drawdown under general Markov models
- On arbitrages arising with honest times
- An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
- Drawdowns preceding rallies in the Brownian motion model
- Probability distribution and option pricing for drawdown in a stochastic volatility environment
- Omega diffusion risk model with surplus-dependent tax and capital injections
- Slow boom, sudden crash
- On the frequency of drawdowns for Brownian motion processes
- A direct solution method for pricing options involving the maximum process
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
- Magnitude and speed of consecutive market crashes in a diffusion model
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
This page was built for publication: Drawdowns and the speed of market crash
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1930625)
