We study drawdowns and rallies of Brownian motion. A rally is defined as the difference of the present value of the Brownian motion and its historical minimum, while the drawdown is defined as the difference of the historical maximum and its present value. This paper deter-mines the probability that a drawdown of a units precedes a rally of b units. We apply this result to examine stock market crashes and rallies in the geometric Brownian motion model
An asset whose price exhibits geometric Brownian motion is analysed. The basic Brownian motion model...
Brownian Motion is one of the most useful tools in the arsenal of stochastic models. This phenomenon...
The MDD is defined as the maximum loss incurred from peak to bottom during a specified period of tim...
We study drawdowns and rallies of Brownian motion. A rally is defined as the difference of the prese...
We consider the drawdown and drawup of a fractional Brownian motion with trend, which corresponds to...
Abstract In this paper we examine the probabilistic behavior of two quantities closely related to ma...
The maximum drawdown at time T of a random process on [0,T] can be defined informally as the largest...
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is ...
AbstractThis paper studies drawdown and drawup processes in a general diffusion model. The main resu...
We study a scaled version of a two-parameter Brownian penalization model introduced by Roynette-Vall...
This paper studies drawdown and drawup processes in a general diffusion model. The main result is a ...
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
Motivated by questions related to a fragmentation process which has been studied by Aldous, Pitman, ...
Risk exposure in financial markets has been described through several measures (VaR, CVaR, etc.) bas...
AbstractMotivated by questions related to a fragmentation process which has been studied by Aldous, ...
An asset whose price exhibits geometric Brownian motion is analysed. The basic Brownian motion model...
Brownian Motion is one of the most useful tools in the arsenal of stochastic models. This phenomenon...
The MDD is defined as the maximum loss incurred from peak to bottom during a specified period of tim...
We study drawdowns and rallies of Brownian motion. A rally is defined as the difference of the prese...
We consider the drawdown and drawup of a fractional Brownian motion with trend, which corresponds to...
Abstract In this paper we examine the probabilistic behavior of two quantities closely related to ma...
The maximum drawdown at time T of a random process on [0,T] can be defined informally as the largest...
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is ...
AbstractThis paper studies drawdown and drawup processes in a general diffusion model. The main resu...
We study a scaled version of a two-parameter Brownian penalization model introduced by Roynette-Vall...
This paper studies drawdown and drawup processes in a general diffusion model. The main result is a ...
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
Motivated by questions related to a fragmentation process which has been studied by Aldous, Pitman, ...
Risk exposure in financial markets has been described through several measures (VaR, CVaR, etc.) bas...
AbstractMotivated by questions related to a fragmentation process which has been studied by Aldous, ...
An asset whose price exhibits geometric Brownian motion is analysed. The basic Brownian motion model...
Brownian Motion is one of the most useful tools in the arsenal of stochastic models. This phenomenon...
The MDD is defined as the maximum loss incurred from peak to bottom during a specified period of tim...
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