Drawdowns and the speed of market crash
From MaRDI portal
Publication:1930625
DOI10.1007/s11009-011-9262-7zbMath1282.91396MaRDI QIDQ1930625
Hongzhong Zhang, Olympia Hadjiliadis
Publication date: 11 January 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-011-9262-7
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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